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ArticleHedging with a correlated asset: Solution of a nonlinear pricing PDE

Heath A. Windcliff2006

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Articlebronze2006

Hedging with a correlated asset: Solution of a nonlinear pricing PDE

Heath A. Windcliff · Jinhua Wang · Peter Forsyth · K.R. Vetzal

25 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Advanced Numerical Methods in Computational Mathematics Risk and Portfolio Optimization

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References

2003Financial Modelling with Jump Processes 1985Option Pricing and Replication with Transactions Costs 1995Pricing and hedging derivative securities in markets with uncertain volatilities 1998Derivatives: The Theory and Practice of Financial Engineering 2005A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models 1995Variance-Optimal Hedging in Discrete Time 2002Quadratic Convergence for Valuing American Options Using a Penalty Method 1997Numerical Methods in Finance

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2015Efficient numerical Fourier methods for coupled forward–backward SDEs

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Year2006

Typearticle

Published2006-03-31

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations25

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2005.12.008

openalex_workW2034548366

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