Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics

Publikationstyp:
Zeitschriftenaufsatz
Metadaten:
Autoren
  • A Ruffing
  • P Windpassinger
  • S Panig
Autoren-URL
https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=fis-test-1&SrcAuth=WosAPI&KeyUT=WOS:000170563000002&DestLinkType=FullRecord&DestApp=WOS_CPL
DOI
10.1155/S1026022601000176
Externe Identifier
  • Clarivate Analytics Document Solution ID: 464ZJ
ISSN
1026-0226
Ausgabe der Veröffentlichung
3
Zeitschrift
DISCRETE DYNAMICS IN NATURE AND SOCIETY
Schlüsselwörter
  • diffusion processes
  • diffusion equations
Paginierung
157 - 169
Datum der Veröffentlichung
2001
Status
Published
Titel
Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics
Sub types
  • Article
Ausgabe der Zeitschrift
6

Datenquelle: Web of Science (Lite)

Andere Metadatenquellen:
Abstract
<jats:p>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 of the diffusion equation. The quality of the approximations to the exact solutions is compared throughout the visualizations. The article mainly is based on the pedagogical style of the presentations to the Novacella Easter School 2000 on Financial Mathematics.</jats:p>
Autoren
  • Andreas Ruffing
  • Patrick Windpassinger
  • Stefan Panig
DOI
10.1155/s1026022601000176
eISSN
1607-887X
ISSN
1026-0226
Ausgabe der Veröffentlichung
3
Zeitschrift
Discrete Dynamics in Nature and Society
Sprache
en
Paginierung
157 - 169
Datum der Veröffentlichung
2001
Status
Published
Herausgeber
Hindawi Limited
Herausgeber URL
http://dx.doi.org/10.1155/s1026022601000176
Datum der Datenerfassung
2016
Titel
Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics
Ausgabe der Zeitschrift
6

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