On the use of boundary conditions for variational formulations arising in financial mathematics

Author:

Marcozzi Michael D.,Choi Seungmook,Chen C.S.

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference28 articles.

1. Pricing foreign currency options under stochastic interest rates;Amin;J. Int. Money Finance,1991

2. K. Amin, R. Jarrow, Pricing options on risky assets in a stochastic interest rate economy, in: L. Hughston (Ed.), Vasicek and Beyond, Approaches to Building and Applying Interest Rate Models, RISK Pub., 1996, pp. 235–252

3. Discrete-time valuation of American options with stochastic interest rates;Amin;Rev. Financial Studies,1995

4. On the theory of option pricing;Bensoussan;Acta Appl. Math.,1984

5. Applications of Variational Inequalities in Stochastic Control;Bensoussan,1982

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