Title of article
Numerical solution of a parabolic problem arising in finance
Author/Authors
Le Roux، نويسنده , , Marie-Noelle، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
18
From page
815
To page
832
Abstract
In this paper, we study a parabolic system of three equations which permits to solve an optimal replication problem in incomplete markets. We obtain existence and uniqueness of the solution in suitable Sobolev spaces and propose a numerical method to compute the optimal strategy.
Keywords
Nonlinear parabolic problem , Mathematical model , Finite elements method
Journal title
Applied Numerical Mathematics
Serial Year
2012
Journal title
Applied Numerical Mathematics
Record number
1529523
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