Numerical Solution of a parabolic problem arising in finance

Details Numerical Solution of a parabolic problem arising in finance Numerical Solution of a parabolic problem arising in finance

2009-05-18

arxiv.org/abs/0905.2860v1

Mathematics

Numerical Analysis

27 pages

Scientific paper

The optimal replication strategy for incomplete markets is obtained by
solving a system of partial differential equations. In this paper, we study
existence and uniqueness of the solution in suitable Sobolev spaces and propose
a numerical method to compute the optimal strategy

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