Questions tagged [pde]
The pde tag has no usage guidance.
5
questions
1
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0answers
34 views
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 ...
1
vote
0answers
65 views
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}{\...
1
vote
1answer
52 views
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 ...
2
votes
1answer
61 views
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, ...
0
votes
0answers
26 views
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-...
