Valuation of boundary-linked assets by stochastic boundary value problems solved with a wavelet-collocation algorithm
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Keywords
Stochastic boundary value problems
Financial derivatives
Wavelets
Collocation methods
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We thank Professor A. Balbas and Professor E. Galperin for their helpful comments and suggestions. This research has been supported by two Marie Curie Fellowships of the European Community programme IHP under contract numbers HPMF-CT-2000-00781 and HPMF-CT-2000-00449, respectively.
Copyright © 2006 Published by Elsevier Ltd.