| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1708152 | Applied Mathematics Letters | 2013 | 4 Pages |
Abstract
Expected utility maximization is a very useful approach for pricing options in an incomplete market. The results from this approach contain many important features observed by practitioners. However, under this approach, the option prices are determined by a set of coupled nonlinear partial differential equations in high dimensions. Thus, it represents numerous significant difficulties in both theoretical analysis and numerical computations. In this paper, we present accurate approximate solutions for this set of equations.
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Physical Sciences and Engineering
Engineering
Computational Mechanics
Authors
Qiang Zhang, Jiguang Han,