Finite element method for pricing European contingent claims on multiple assets. Part II: convergence and optimal error estimates
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References listed on IDEAS
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More about this item
Keywordscontingent claim pricing; finite element method; semigroup approach; energy method; degenerate parabolic equation; discontinuous data;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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