-
Previous Article
A modelling of springing, whipping and slamming for ships
- CPAA Home
- This Issue
-
Next Article
On the asymptotic behavior of elliptic, anisotropic singular perturbations problems
The forward Kolmogorov equation for two dimensional options
1. | Natixis Corporate Solutions bank, 30 av George V 75008 PARIS, France, France |
2. | Laboratoire Jacques-Louis Lions (LJLL), UPMC Univ Paris 06, UMR 7598, LJLL, F-75005, Paris, CNRS, UMR 7598, LJLL, F-75005, Paris, France |
[1] |
Lijuan Wang, Jun Zou. Error estimates of finite element methods for parameter identifications in elliptic and parabolic systems. Discrete and Continuous Dynamical Systems - B, 2010, 14 (4) : 1641-1670. doi: 10.3934/dcdsb.2010.14.1641 |
[2] |
Wolf-Jüergen Beyn, Janosch Rieger. Galerkin finite element methods for semilinear elliptic differential inclusions. Discrete and Continuous Dynamical Systems - B, 2013, 18 (2) : 295-312. doi: 10.3934/dcdsb.2013.18.295 |
[3] |
Chunjuan Hou, Yanping Chen, Zuliang Lu. Superconvergence property of finite element methods for parabolic optimal control problems. Journal of Industrial and Management Optimization, 2011, 7 (4) : 927-945. doi: 10.3934/jimo.2011.7.927 |
[4] |
Xiaomeng Li, Qiang Xu, Ailing Zhu. Weak Galerkin mixed finite element methods for parabolic equations with memory. Discrete and Continuous Dynamical Systems - S, 2019, 12 (3) : 513-531. doi: 10.3934/dcdss.2019034 |
[5] |
Qun Lin, Hehu Xie. Recent results on lower bounds of eigenvalue problems by nonconforming finite element methods. Inverse Problems and Imaging, 2013, 7 (3) : 795-811. doi: 10.3934/ipi.2013.7.795 |
[6] |
Zhangxin Chen. On the control volume finite element methods and their applications to multiphase flow. Networks and Heterogeneous Media, 2006, 1 (4) : 689-706. doi: 10.3934/nhm.2006.1.689 |
[7] |
Bin Wang, Lin Mu. Viscosity robust weak Galerkin finite element methods for Stokes problems. Electronic Research Archive, 2021, 29 (1) : 1881-1895. doi: 10.3934/era.2020096 |
[8] |
Jiwei Jia, Young-Ju Lee, Yue Feng, Zichan Wang, Zhongshu Zhao. Hybridized weak Galerkin finite element methods for Brinkman equations. Electronic Research Archive, 2021, 29 (3) : 2489-2516. doi: 10.3934/era.2020126 |
[9] |
Robert Elliott, Dilip B. Madan, Tak Kuen Siu. Lower and upper pricing of financial assets. Probability, Uncertainty and Quantitative Risk, 2022, 7 (1) : 45-66. doi: 10.3934/puqr.2022004 |
[10] |
Dongho Kim, Eun-Jae Park. Adaptive Crank-Nicolson methods with dynamic finite-element spaces for parabolic problems. Discrete and Continuous Dynamical Systems - B, 2008, 10 (4) : 873-886. doi: 10.3934/dcdsb.2008.10.873 |
[11] |
A. Naga, Z. Zhang. The polynomial-preserving recovery for higher order finite element methods in 2D and 3D. Discrete and Continuous Dynamical Systems - B, 2005, 5 (3) : 769-798. doi: 10.3934/dcdsb.2005.5.769 |
[12] |
Tao Lin, Yanping Lin, Weiwei Sun. Error estimation of a class of quadratic immersed finite element methods for elliptic interface problems. Discrete and Continuous Dynamical Systems - B, 2007, 7 (4) : 807-823. doi: 10.3934/dcdsb.2007.7.807 |
[13] |
Juan Wen, Yaling He, Yinnian He, Kun Wang. Stabilized finite element methods based on multiscale enrichment for Allen-Cahn and Cahn-Hilliard equations. Communications on Pure and Applied Analysis, 2022, 21 (6) : 1873-1894. doi: 10.3934/cpaa.2021074 |
[14] |
Cuilian You, Le Bo. Option pricing formulas for generalized fuzzy stock model. Journal of Industrial and Management Optimization, 2020, 16 (1) : 387-396. doi: 10.3934/jimo.2018158 |
[15] |
Mikhail Dokuchaev, Guanglu Zhou, Song Wang. A modification of Galerkin's method for option pricing. Journal of Industrial and Management Optimization, 2022, 18 (4) : 2483-2504. doi: 10.3934/jimo.2021077 |
[16] |
Editorial Office. Retraction: Xiao-Qian Jiang and Lun-Chuan Zhang, A pricing option approach based on backward stochastic differential equation theory. Discrete and Continuous Dynamical Systems - S, 2019, 12 (4&5) : 969-969. doi: 10.3934/dcdss.2019065 |
[17] |
Xuefei He, Kun Wang, Liwei Xu. Efficient finite difference methods for the nonlinear Helmholtz equation in Kerr medium. Electronic Research Archive, 2020, 28 (4) : 1503-1528. doi: 10.3934/era.2020079 |
[18] |
Kai Zhang, Song Wang. Convergence property of an interior penalty approach to pricing American option. Journal of Industrial and Management Optimization, 2011, 7 (2) : 435-447. doi: 10.3934/jimo.2011.7.435 |
[19] |
Kun Fan, Yang Shen, Tak Kuen Siu, Rongming Wang. On a Markov chain approximation method for option pricing with regime switching. Journal of Industrial and Management Optimization, 2016, 12 (2) : 529-541. doi: 10.3934/jimo.2016.12.529 |
[20] |
Tak Kuen Siu, Howell Tong, Hailiang Yang. Option pricing under threshold autoregressive models by threshold Esscher transform. Journal of Industrial and Management Optimization, 2006, 2 (2) : 177-197. doi: 10.3934/jimo.2006.2.177 |
2021 Impact Factor: 1.273
Tools
Metrics
Other articles
by authors
[Back to Top]