【经典教材系列】The Time-Discrete Method Of Lines For Options And Bonds

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关键词：Discrete options Method Option tions equation finance where 经典 资料

Few financial mathematical books have discussed mathematically acceptable boundary conditions for the degenerate diffusion equations in finance. In The Time-Discrete Method of Lines for Options and Bonds, Gunter H Meyer examines PDE models for financial derivatives and shows where the Fichera theory requires the pricing equation at degenerate boundary points, and what modifications of it lead to acceptable tangential boundary conditions at non-degenerate points on computational boundaries when no financial data are available.

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The Time-Discrete Method Of Lines For Options And Bonds

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【经典教材系列】The Time-Discrete Method Of Lines For Options And Bonds

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