Numerical Solution of a parabolic problem arising in finance
Numerical Analysis
2009-05-19 v1
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 propose a numerical method to compute the optimal strategy
Keywords
Cite
@article{arxiv.0905.2860,
title = {Numerical Solution of a parabolic problem arising in finance},
author = {Marie-Noëlle Le Roux},
journal= {arXiv preprint arXiv:0905.2860},
year = {2009}
}
Comments
27 pages