Add to ORKGWe explicitly solve some mixed initial/boundary value problems for gen- eralized Black-Scholes PDEs with financially relevant boundary conditions. As an illustration, new pricing formulas are obtained for convertible and reverse convertible bonds under credit risk
A convertible bond (CB) is a financial derivative, a so called hybrid security. It is an issued cont...
This paper proposes a partial differential equation (PDE) approach to calculate coherent risk measur...
using finite difference methods A benchmark mathematical model for the description of financial deri...
We explicitly solve some mixed initial/boundary value problems for gen- eralized Black-Scholes PDEs...
The purpose of this paper is to present numerical solutions to PDE representations for derivatives p...
This paper studies the Dirichlet problem for some second order PDEs with non-negative characteristic...
There are some nonlinear models for pricing financial derivatives which can improve the linear Black...
The convertible bond is becoming one of the most important financial instruments for the company to ...
We study the semilinear partial differential equation (PDE) associated with the non-linear BSDE char...
In this thesis, the proposed problem is to solve the system of two-coupled Black-Scholes equations, ...
In this research report we explore some applications of symmetry methods for boundary value problem...
Abstract. We study properties of solutions to fully nonlinear versions of the standard Black– Schole...
A pricing formula for N-fold compound options is derived, solving N nested Black-Scholes differentia...
A Boundary Element Method (BEM) is proposed for the analytic PDE-based evaluation of a defaultable z...
We solve in closed form a parsimonious extension of the Black-Scholes-Merton model with bankruptcy w...
A convertible bond (CB) is a financial derivative, a so called hybrid security. It is an issued cont...
This paper proposes a partial differential equation (PDE) approach to calculate coherent risk measur...
using finite difference methods A benchmark mathematical model for the description of financial deri...
We explicitly solve some mixed initial/boundary value problems for gen- eralized Black-Scholes PDEs...
The purpose of this paper is to present numerical solutions to PDE representations for derivatives p...
This paper studies the Dirichlet problem for some second order PDEs with non-negative characteristic...
There are some nonlinear models for pricing financial derivatives which can improve the linear Black...
The convertible bond is becoming one of the most important financial instruments for the company to ...
We study the semilinear partial differential equation (PDE) associated with the non-linear BSDE char...
In this thesis, the proposed problem is to solve the system of two-coupled Black-Scholes equations, ...
In this research report we explore some applications of symmetry methods for boundary value problem...
Abstract. We study properties of solutions to fully nonlinear versions of the standard Black– Schole...
A pricing formula for N-fold compound options is derived, solving N nested Black-Scholes differentia...
A Boundary Element Method (BEM) is proposed for the analytic PDE-based evaluation of a defaultable z...
We solve in closed form a parsimonious extension of the Black-Scholes-Merton model with bankruptcy w...
A convertible bond (CB) is a financial derivative, a so called hybrid security. It is an issued cont...
This paper proposes a partial differential equation (PDE) approach to calculate coherent risk measur...
using finite difference methods A benchmark mathematical model for the description of financial deri...