نتایج جستجو برای: fourth order boundaryvalue problem
تعداد نتایج: 1708478 فیلتر نتایج به سال:
Journal:
:Numerical Methods for Partial Differential Equations
2007
Journal:
:Journal of Mathematical Analysis and Applications
2014
Journal:
:Taiwanese Journal of Mathematics
2011
Journal:
:Boundary Value Problems
2016
Journal:
:Boundary Value Problems
2017
Journal:
:Mathematics of Computation
1974
Journal:
:Journal of Differential Equations
2012
2000
Jean-Pierre Fouque
George Papanicolaou
K. Ronnie Sircar
We describe a robust correction to Black-Scholes American derivatives prices that accounts for uncertain and changing market volatility. It exploits the tendency of volatility to cluster, or fast mean-reversion, and is simply calibrated from the observed implied volatility skew. The two-dimensional free-boundary problem for the derivative pricing function under a stochastic volatility model is ...
Journal:
:Applied and Computational Mathematics
2017
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