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Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics
Andreas Ruffing, Patrick Windpassinger, Stefan Panig
Izvirni znanstveni članek
Oznake: Matematika;
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 ...
Leto: 2001 Vir: Digitalna knjižnica Univerze v Mariboru (DKUM)
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