MULTI-FACTOR FINANCIAL DERIVATIVES ON FINITE DOMAINS

Communications in Mathematical Sciences

Volumn 1, Issue 2, 2003, Pages 343-359

  Zhu, You Lan ^a   Li, Jinliang ^b  

^a UNIVERSITY OF NORTH CAROLINA AT CHARLOTTE   (United States)

^b Bank of America Corp   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 39449127987     PISSN: 15396746     EISSN: 19450796     Source Type: Journal    
DOI: 10.4310/CMS.2003.v1.n2.a8     Document Type: Article

References (8)

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3. [3] I.I. Gihman and A.N. Skorohod, Stochastic Differential Equations. Springer-Verlag, New York,1972.
4. [4] M.D. Marcozzi, S. Choi, and C.S. Chen, On the use of boundary conditions for variational formulations arising in financial mathematics. Appl. Math. Comp., 124:197-214, 2001.
5. [5] Z.Z. Sun, N.N. Yang, and Y.L. Zhu, Convergence of Second-Order Difference Schemes and Extrapolation Algorithm for Degenerate Parabolic Equations. Working paper, University of North Carolina at Charlotte, 2001.
6. [6] Y.L. Zhu and J. Li, Numerical solutions for american options on assets with stochastic volatil-ities. Working Paper, University of North Carolina at Charlotte, 2001.
7. [7] Y.L. Zhu and Y. Sun, The singularity-separating methods for two-factor convertible bonds. J.Comp. Finance., 3(1):91-110, 1999.
8. [8] Y.L. Zhu, X. Wu, and I.L. Chern, Derivatives Securities and Finite Difference Methods. Uni-versity of North Carolina at Charlotte, 2002.