OpenAlex | Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing

Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing

Work

Year: 2011

Type: article

Source: SIAM Journal on Financial Mathematics

Authors Wen Cheng, Nick Costanzino, John Liechty, Anna L. Mazzucato, Victor Nistor

Cites: 57

Cited by: 28

Related to: 10

FWCI: 3.812

Citation percentile (by year/subfield): 93.84

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed