This paper studies the Dirichlet problem for some second order PDEs with non-negative characteristic form. The classical solution method is presented in a general framework. The results are applied to the pricing problems for a financial option of barrier type.
Agliardi R., Popivanov P., Slavova A. (2011). On some boundary-value problems for second order PDEs arising in Finance. COMPTES RENDUS DE L'ACADÉMIE BULGARE DES SCIENCES, 64, 1383-1392.
On some boundary-value problems for second order PDEs arising in Finance
AGLIARDI, ROSSELLA;
2011
Abstract
This paper studies the Dirichlet problem for some second order PDEs with non-negative characteristic form. The classical solution method is presented in a general framework. The results are applied to the pricing problems for a financial option of barrier type.File in questo prodotto:
Eventuali allegati, non sono esposti
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
