Year: 2001
Author: Dong-Sheng Wu
Journal of Computational Mathematics, Vol. 19 (2001), Iss. 6 : pp. 591–600
Abstract
This paper suggests a probabilistic numerical approach for a class of PDE. First of all, by simulating Brownian motion and using Monte-Carlo method, we obtain a probabilistic numerical solution for the PDE. Then, we prove that the probabilistic numerical solution converges in probability to its solution. At the end of this paper, as an application, we give a probabilistic numerical approach for the valuation of European Options, where we see volatility $\sigma$, interest rate $r$ and divident rate $D_0$ as functions of stock $S$, respectively.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/2001-JCM-9011
Journal of Computational Mathematics, Vol. 19 (2001), Iss. 6 : pp. 591–600
Published online: 2001-01
AMS Subject Headings:
Copyright: COPYRIGHT: © Global Science Press
Pages: 10
Keywords: Brownian motion Probabilistic numerical solution European options.