scholarly journals Solvability of Uniformly Elliptic Fully Nonlinear PDE

2009 ◽  
Vol 195 (2) ◽  
pp. 579-607 ◽  
Author(s):  
Boyan Sirakov
Keyword(s):  
Nonlinear Pde ◽  
Fully Nonlinear ◽  
Fully Nonlinear Pde

scholarly journals Asian Option Pricing under an Uncertain Volatility Model

2020 ◽  
Vol 2020 ◽  
pp. 1-10
Author(s):  
Yuecai Han ◽  
Chunyang Liu
Keyword(s):  
Boundary Condition ◽  
Nonlinear Pde ◽  
Asian Option ◽  
Option Prices ◽  
Case Scenario ◽  
Worst Case ◽  
Volatility Model ◽  
Black Scholes ◽  
Uncertain Volatility ◽  
Fully Nonlinear Pde

In this paper, we study the asymptotic behavior of Asian option prices in the worst-case scenario under an uncertain volatility model. We derive a procedure to approximate Asian option prices with a small volatility interval. By imposing additional conditions on the boundary condition and splitting the obtained Black–Scholes–Barenblatt equation into two Black–Scholes-like equations, we obtain an approximation method to solve a fully nonlinear PDE.

Farfield extension of fully nonlinear nearfield ship waves

1999 ◽  
Author(s):  
Chi Yang ◽  
Rainald Lohner ◽  
Francis Noblesse
Keyword(s):  
Fully Nonlinear ◽  
Ship Waves
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