Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics
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...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2001-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1155/S1026022601000176 |
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| _version_ | 1850169375205621760 |
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| author | Andreas Ruffing Patrick Windpassinger Stefan Panig |
| author_facet | Andreas Ruffing Patrick Windpassinger Stefan Panig |
| author_sort | Andreas Ruffing |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-a869c347c0db42e6857bac865d2b85e7 |
| institution | OA Journals |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2001-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-a869c347c0db42e6857bac865d2b85e72025-08-20T02:20:44ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2001-01-016315716910.1155/S1026022601000176Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematicsAndreas Ruffing0Patrick Windpassinger1Stefan Panig2Center for APPlied Mathematics and Theoretical Physics, University of Maribor, Krekova Ulica 2, Maribor SLO-2000, SloveniaZentrum Mathematik, Technische Universität München, Arcisstrasse 21, München D-80333, GermanyZentrum Mathematik, Technische Universität München, Arcisstrasse 21, München D-80333, GermanyWe 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.http://dx.doi.org/10.1155/S1026022601000176Diffusion processes; Diffusion equations. |
| spellingShingle | Andreas Ruffing Patrick Windpassinger Stefan Panig Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics Discrete Dynamics in Nature and Society Diffusion processes; Diffusion equations. |
| title | Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics |
| title_full | Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics |
| title_fullStr | Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics |
| title_full_unstemmed | Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics |
| title_short | Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics |
| title_sort | comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics |
| topic | Diffusion processes; Diffusion equations. |
| url | http://dx.doi.org/10.1155/S1026022601000176 |
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