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Title:
Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics
Authors:
ID
Ruffing, Andreas
(
Author
)
ID
Windpassinger, Patrick
(
Author
)
ID
Panig, Stefan
(
Author
)
Files:
Discrete_Dynamics_in_Nature_and_Society_2001_Ruffing,_Windpassinger,_Panig_Comparing_algebraic_and_numerical_solutions_of_classical_diff.pdf
(2,80 MB)
MD5: 07AC5DEBD7546D7C24C21CB4718DE146
http://www.hindawi.com/journals/ddns/2001/743982/abs/
Language:
English
Work type:
Scientific work
Typology:
1.01 - Original Scientific Article
Organization:
UM - University of Maribor
Abstract:
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 of the diffusion equation. The quality of the approximations to the exact solutions is compared throughout the visualizations. The article mainly is based on the pedagogical style of the presentations to the Novacella Easter School 2000 on Financial Mathematics.
Keywords:
diffusion processes
,
diffusion equations
Publication status:
Published
Publication version:
Version of Record
Year of publishing:
2001
Number of pages:
str. 157-169
Numbering:
Letn. 6, št. 3
PID:
20.500.12556/DKUM-66184
ISSN:
1026-0226
UDC:
51
ISSN on article:
1026-0226
COBISS.SI-ID:
47309057
DOI:
10.1155/S1026022601000176
NUK URN:
URN:SI:UM:DK:RUE0LUQA
Publication date in DKUM:
14.06.2017
Views:
1176
Downloads:
390
Metadata:
Categories:
Misc.
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Record is a part of a journal
Title:
Discrete Dynamics in Nature and Society
Shortened title:
Discrete Dyn. Nat. Soc.
Publisher:
Hindawi Publishing Corporation
ISSN:
1026-0226
COBISS.SI-ID:
47308801
Licences
License:
CC BY 4.0, Creative Commons Attribution 4.0 International
Link:
http://creativecommons.org/licenses/by/4.0/
Description:
This is the standard Creative Commons license that gives others maximum freedom to do what they want with the work as long as they credit the author.
Licensing start date:
14.06.2017
Secondary language
Language:
Slovenian
Keywords:
difuzijski procesi
,
difuzijske enačbe
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