A new method for solving Kolmogorov equations in mathematical finance

作者:LeFloch Philippe G*; Mercier Jean Marc
来源:Comptes Rendus Mathematique, 2017, 355(6): 680-686.
DOI:10.1016/j.crma.2017.05.003

摘要

For multi-dimensional Fokker-Planck-Kolmogorov equations, we propose a numerical method which is based on a novel localization technique. We present extensive numerical experiments that demonstrate its practical interest for finance applications. In particular, this approach allows us to treat calibration and valuation problems, as well as various risk measure computations.

  • 出版日期2017-6