Thumbnail - Request a copy

Some nonlinear methods for studying far-from-the-money contingent claims

Fournié, Eric; Lasry, Jean-Michel; Lions, Pierre-Louis (1997), Some nonlinear methods for studying far-from-the-money contingent claims, in Rogers, Chris; Talay, Denis, Numerical methods in finance, Cambridge University Press : Cambridge, p. 115-145

Type
Chapitre d'ouvrage
Date
1997
Book title
Numerical methods in finance
Book author
Rogers, Chris; Talay, Denis
Publisher
Cambridge University Press
Published in
Cambridge
ISBN
0-521-57354-8
Number of pages
326
Pages
115-145
Metadata
Show full item record
Author(s)
Fournié, Eric
Lasry, Jean-Michel
Lions, Pierre-Louis
Subjects / Keywords
well conditioned linear PDEs; asymptotic results; volatility; Large Deviations; diffusion models
JEL
C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling