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Using pseudo-parabolic and fractional equations for option pricing in jump diffusion models
partial integro-differential equation jump diffusion models
2010/4/27
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a part...
On The Solution of the E.P.D. Equation Using Finite Integral Transformations
Hyperbolic equations initial boundary value problems
2010/3/5
In this paper, a solution is given for the following initial boundary value problem: D=utt+k/t+ut+g(x, t) (t>0) u(0, t)=u(a, t)=0 u(x, 0)=f(x), ut(x, 0)=0 where x, a e Rn, t is the time variable, k < ...