dc.contributor.author |
Dautov R. |
|
dc.contributor.author |
Lapin A. |
|
dc.date.accessioned |
2020-01-15T21:48:37Z |
|
dc.date.available |
2020-01-15T21:48:37Z |
|
dc.date.issued |
2019 |
|
dc.identifier.issn |
1742-6588 |
|
dc.identifier.uri |
https://dspace.kpfu.ru/xmlui/handle/net/156123 |
|
dc.description.abstract |
© Published under licence by IOP Publishing Ltd. Three new weak formulations of the problem of American call options valuation are given. The first of these is a parabolic obstacle problem in a finite domain. The second is a parabolic variational inequality with a convex and Lipschitz-continuous functional and the last one is a semilinear parabolic equation with a discontinuous spatial operator. All these problems are equivalent - they have the same unique solution. Different formulations can be used both for theoretical research and for constructing numerical methods. |
|
dc.relation.ispartofseries |
Journal of Physics: Conference Series |
|
dc.title |
Three new weak formulations of the problem of American call options valuation |
|
dc.type |
Conference Paper |
|
dc.relation.ispartofseries-issue |
2 |
|
dc.relation.ispartofseries-volume |
1158 |
|
dc.collection |
Публикации сотрудников КФУ |
|
dc.source.id |
SCOPUS17426588-2019-1158-2-SID85063808920 |
|