Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics
We revise the interrelations between the classical Black Scholes equation, the diffusion equation and Burgers equation. Some of the algebraic properties the diffusion equation shows are elaborated and qualitatively presented. The related numerical elementary recipes are briefly elucidated in context...
Gardado en:
| Principais autores: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado: |
Wiley
2001-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Assuntos: | |
| Acceso en liña: | http://dx.doi.org/10.1155/S1026022601000176 |
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