Concepedia

Hedging with a correlated asset: Solution of a nonlinear pricing PDE

H. Windcliff, J. Wang, Peter Forsyth, K.R. Vetzal

Journal of Computational and Applied Mathematics · 2006 · 25 citations · 32 references

DOI

Concepts

References

32

User’s guide to viscosity solutions of second order partial differential equations

Michael G. Crandall, Hitoshi Ishii, Pierre-Louis Lions · Bulletin of the American Mathematical Society · 1992 · 5K citations · Full text

, , +16

A nonsmooth version of Newton's method

Liqun Qi, Jie Sun · Mathematical Programming · 1993 · 1.5K citations

, , +5

Convergence of approximation schemes for fully nonlinear second order equations

Guy Barles, Panagiotis E. Souganidis · Asymptotic Analysis · 1991 · 1K citations

, , +12

Option Pricing and Replication with Transactions Costs

Hayne E. Leland · The Journal of Finance · 1985 · 837 citations

, , +16

Pricing and hedging derivative securities in markets with uncertain volatilities

M. Avellaneda, Arnon Levy, Antonio Paras · Applied Mathematical Finance · 1995 · 701 citations

, , +17