Matches in SemOpenAlex for { <https://semopenalex.org/work/W2483359611> ?p ?o ?g. }
Showing items 1 to 82 of
82
with 100 items per page.
- W2483359611 endingPage "296" @default.
- W2483359611 startingPage "248" @default.
- W2483359611 abstract "Many financial derivative products are conveniently modeled in terms of one or more factors, or stochastic spatial variables, and time. Based on the contingent claims analysis developed by Black and Scholes and Merton, a partial differential equation (PDE) for the fair price of these derivatives can be obtained. Valuation PDEs for financial derivatives are usually parabolic and of second order. This chapter presents a framework for solving multifactor option-pricing problems with early-exercise features. This chapter introduces a duality (or Langrange multiplier) method to deal with inequality constraints in the solution or its derivatives. The method of characteristics and finite elements is proposed for time and space discretization, respectively. The main issues when using PDE methods in contingent claim valuation are how to account for early-exercise features, how to discretize the model, and how to deal with the convection-dominance problem." @default.
- W2483359611 created "2016-08-23" @default.
- W2483359611 creator A5000504499 @default.
- W2483359611 creator A5021279748 @default.
- W2483359611 creator A5053101419 @default.
- W2483359611 creator A5065180869 @default.
- W2483359611 creator A5070916306 @default.
- W2483359611 creator A5088934384 @default.
- W2483359611 date "2012-01-02" @default.
- W2483359611 modified "2023-09-23" @default.
- W2483359611 title "Numerical Solution of Multifactor Pricing Problems Using Lagrange-Galerkin with Duality Methods" @default.
- W2483359611 doi "https://doi.org/10.1002/9781119201816.ch9" @default.
- W2483359611 hasPublicationYear "2012" @default.
- W2483359611 type Work @default.
- W2483359611 sameAs 2483359611 @default.
- W2483359611 citedByCount "0" @default.
- W2483359611 crossrefType "other" @default.
- W2483359611 hasAuthorship W2483359611A5000504499 @default.
- W2483359611 hasAuthorship W2483359611A5021279748 @default.
- W2483359611 hasAuthorship W2483359611A5053101419 @default.
- W2483359611 hasAuthorship W2483359611A5065180869 @default.
- W2483359611 hasAuthorship W2483359611A5070916306 @default.
- W2483359611 hasAuthorship W2483359611A5088934384 @default.
- W2483359611 hasConcept C10138342 @default.
- W2483359611 hasConcept C118615104 @default.
- W2483359611 hasConcept C126255220 @default.
- W2483359611 hasConcept C134306372 @default.
- W2483359611 hasConcept C144237770 @default.
- W2483359611 hasConcept C149782125 @default.
- W2483359611 hasConcept C161999928 @default.
- W2483359611 hasConcept C162324750 @default.
- W2483359611 hasConcept C163128081 @default.
- W2483359611 hasConcept C186027771 @default.
- W2483359611 hasConcept C194483076 @default.
- W2483359611 hasConcept C2778023678 @default.
- W2483359611 hasConcept C28826006 @default.
- W2483359611 hasConcept C33252445 @default.
- W2483359611 hasConcept C33923547 @default.
- W2483359611 hasConcept C53846429 @default.
- W2483359611 hasConcept C73000952 @default.
- W2483359611 hasConcept C73684929 @default.
- W2483359611 hasConcept C91602232 @default.
- W2483359611 hasConcept C93779851 @default.
- W2483359611 hasConceptScore W2483359611C10138342 @default.
- W2483359611 hasConceptScore W2483359611C118615104 @default.
- W2483359611 hasConceptScore W2483359611C126255220 @default.
- W2483359611 hasConceptScore W2483359611C134306372 @default.
- W2483359611 hasConceptScore W2483359611C144237770 @default.
- W2483359611 hasConceptScore W2483359611C149782125 @default.
- W2483359611 hasConceptScore W2483359611C161999928 @default.
- W2483359611 hasConceptScore W2483359611C162324750 @default.
- W2483359611 hasConceptScore W2483359611C163128081 @default.
- W2483359611 hasConceptScore W2483359611C186027771 @default.
- W2483359611 hasConceptScore W2483359611C194483076 @default.
- W2483359611 hasConceptScore W2483359611C2778023678 @default.
- W2483359611 hasConceptScore W2483359611C28826006 @default.
- W2483359611 hasConceptScore W2483359611C33252445 @default.
- W2483359611 hasConceptScore W2483359611C33923547 @default.
- W2483359611 hasConceptScore W2483359611C53846429 @default.
- W2483359611 hasConceptScore W2483359611C73000952 @default.
- W2483359611 hasConceptScore W2483359611C73684929 @default.
- W2483359611 hasConceptScore W2483359611C91602232 @default.
- W2483359611 hasConceptScore W2483359611C93779851 @default.
- W2483359611 hasLocation W24833596111 @default.
- W2483359611 hasOpenAccess W2483359611 @default.
- W2483359611 hasPrimaryLocation W24833596111 @default.
- W2483359611 hasRelatedWork W132394777 @default.
- W2483359611 hasRelatedWork W2059227460 @default.
- W2483359611 hasRelatedWork W2136089225 @default.
- W2483359611 hasRelatedWork W2802501674 @default.
- W2483359611 hasRelatedWork W2943982390 @default.
- W2483359611 hasRelatedWork W3125204088 @default.
- W2483359611 hasRelatedWork W3151491349 @default.
- W2483359611 hasRelatedWork W3157109133 @default.
- W2483359611 hasRelatedWork W4200518845 @default.
- W2483359611 hasRelatedWork W2557177882 @default.
- W2483359611 isParatext "false" @default.
- W2483359611 isRetracted "false" @default.
- W2483359611 magId "2483359611" @default.
- W2483359611 workType "other" @default.