A note on a PDE approach to option pricing under xVA.
Falko BaustianMartin FenclJan PospisilVladimír SvíglerPublished in: CoRR (2021)
Keyphrases
- option pricing
- partial differential equations
- stock price
- black scholes
- decision analysis
- anisotropic diffusion
- level set
- black scholes model
- capital budgeting
- real option
- numerical methods
- multiscale
- image processing
- image denoising
- decision theory
- domain knowledge
- image enhancement
- stock market
- non stationary
- text categorization
- historical data
- denoising
- long term
- data mining