Questions tagged [pde]

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boundary conditions in finite element method

In the appendix A of this paper, https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.227.5073&rep=rep1&type=pdf, a finite element method is demonstrated to price a straddle. The same ...
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How to solve this particular PDE using Feynman-Kac formula?

I have to solve the PDE $$ \begin{align} \frac{\partial F}{\partial t} + \frac{1}{2}\frac{\partial^2 F}{\partial x^2} + \frac{1}{2}\frac{\partial^2 F}{\partial y^2} + \frac{1}{2}\frac{\partial^2 F}{\...
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Canonical text on numerical PDEs in finance

I am looking for a text similar to Glasserman's Monte Carlo Methods in Financial Engineering, but with a focus on numerical methods for PDEs. Glasserman's book seems to cover a lot for what is ...
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Trying to measure “radius of diffusion” in the stock market

Good evening! I'm quite new to quantitative finance (coming from the math world!), so please excuse me if I'm not familiar with every concept! I am currently studying the Black-Scholes equation, ...
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What PDE does the physical measure sde solve?

I have two questions: 1) Let's say I had an estimate of $\mu$ in an sde: $dZ = \mu Z dt + \sigma Z dW$ If I ran monte carlo I could price say an option like $Call_t = e^{-rT}E_t[(Z-k)+]$ Feynman-...