Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4645415 | Applied Numerical Mathematics | 2012 | 18 Pages |
Abstract
In this paper, we study a parabolic system of three equations which permits to solve an optimal replication problem in incomplete markets. We obtain existence and uniqueness of the solution in suitable Sobolev spaces and propose a numerical method to compute the optimal strategy.
Related Topics
Physical Sciences and Engineering
Mathematics
Computational Mathematics