Numerical Solution of a parabolic problem arising in finance
hal.structure.identifier | Institut de Mathématiques de Bordeaux [IMB] | |
dc.contributor.author | LE ROUX, Marie-Noëlle | |
dc.date.accessioned | 2024-04-04T02:39:26Z | |
dc.date.available | 2024-04-04T02:39:26Z | |
dc.date.created | 2009-05-18 | |
dc.identifier.uri | https://oskar-bordeaux.fr/handle/20.500.12278/190972 | |
dc.description.abstractEn | 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 strategy | |
dc.language.iso | en | |
dc.subject.en | mathematical model | |
dc.subject.en | nonlinear parabolic problem | |
dc.subject.en | finite element method | |
dc.title.en | Numerical Solution of a parabolic problem arising in finance | |
dc.type | Document de travail - Pré-publication | |
dc.subject.hal | Mathématiques [math]/Analyse numérique [math.NA] | |
dc.identifier.arxiv | 0905.2860 | |
bordeaux.hal.laboratories | Institut de Mathématiques de Bordeaux (IMB) - UMR 5251 | * |
bordeaux.institution | Université de Bordeaux | |
bordeaux.institution | Bordeaux INP | |
bordeaux.institution | CNRS | |
hal.identifier | hal-00385009 | |
hal.version | 1 | |
hal.audience | Non spécifiée | |
hal.origin.link | https://hal.archives-ouvertes.fr//hal-00385009v1 | |
bordeaux.COinS | ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.au=LE%20ROUX,%20Marie-No%C3%ABlle&rft.genre=preprint |
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