Existence and Uniqueness of Viscosity Solutions of an Integro-differential Equation Arising in Option Pricing.
Hitoshi IshiiAlexandre F. RochPublished in: SIAM J. Financial Math. (2021)
Keyphrases
- differential equations
- boundary value problem
- option pricing
- dynamical systems
- numerical methods
- black scholes
- numerical solution
- partial differential equations
- stock price
- continuous functions
- steady state
- sufficient conditions
- difference equations
- sensitivity analysis
- machine learning
- variational inequalities
- decision analysis
- real option
- long term
- decision making