Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing.
Wen ChengNick CostanzinoJohn LiechtyAnna L. MazzucatoVictor NistorPublished in: SIAM J. Financial Math. (2011)
Keyphrases
- closed form
- option pricing
- numerical methods
- black scholes
- closed form solutions
- stock price
- decision analysis
- differential equations
- closed form expressions
- partition function
- sufficient conditions
- point correspondences
- markov chain
- sensitivity analysis
- real option
- black scholes model
- heavy traffic
- financial markets
- influence diagrams
- probability distribution
- special case
- long term
- expert systems