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PDE models and numerical methods for total value adjustment in European and American options with counterparty risk.
Iñigo Arregui
Beatriz Salvador
Carlos Vázquez
Published in:
Appl. Math. Comput. (2017)
Keyphrases
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numerical methods
partial differential equations
differential equations
numerical solution
black scholes
finite difference method
numerical algorithms
level set
bayesian framework
level set method
prior knowledge
anisotropic diffusion
ordinary differential equations