PDE models for American options with counterparty risk and two stochastic factors: Mathematical analysis and numerical solution.
Iñigo ArreguiBeatriz SalvadorDaniel SevcovicCarlos VázquezPublished in: Comput. Math. Appl. (2020)
Keyphrases
- numerical solution
- mathematical analysis
- partial differential equations
- ordinary differential equations
- difference equations
- numerical methods
- finite element method
- statistical models
- finite difference
- finite element
- anisotropic diffusion
- exact solution
- image processing
- image denoising
- level set
- wavelet transform
- feature extraction