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arXiv · 0905.2860

Numerical Solution of a parabolic problem arising in finance

Marie-Noëlle Le Roux
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Abstract

The optimal replication strategy for incomplete markets is obtained by solving a system of partial differential equations. In this paper, we study existence and uniqueness of the solution in suitable Sobolev spaces and propose a numerical method to compute the optimal strategy

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Marie-Noëlle Le Roux. 2009-05-18. Numerical Solution of a parabolic problem arising in finance. https://arxiv.org/abs/0905.2860

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