Numerical Solution of a parabolic problem arising in finance
Language
en
Document de travail - Pré-publication
English Abstract
The optimal replication strategy for incomplete markets is obtained by solving a system of partial differential equations. In this paper, we study existence and uniqueness of the solution in suitable Sobolev spaces and ...Read more >
The optimal replication strategy for incomplete markets is obtained by solving a system of partial differential equations. In this paper, we study existence and uniqueness of the solution in suitable Sobolev spaces and propose a numerical method to compute the optimal strategyRead less <
English Keywords
mathematical model
nonlinear parabolic problem
finite element method
Origin
Hal imported