Numerical Solution of a parabolic problem arising in finance
Idioma
en
Document de travail - Pré-publication
Resumen en inglés
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 ...Leer más >
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< Leer menos
Palabras clave en inglés
mathematical model
nonlinear parabolic problem
finite element method
Orígen
Importado de HalCentros de investigación