A Partial Differential Equation Approach


Postby dantas » Mon Dec 23, 2013 8:08 pm


I looked around on the internet and couldn't find a paper on UVM-ADE, would you care to post some reference to it?

Also, I have a question regarding a regular ADE for european options. How would you work that out without a domain transform?

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Postby Cuchulainn » Tue Dec 24, 2013 12:49 pm

There is an article in Wilmott Magazine July 2011 on UVM and ADE.

ADE and domain truncation is an alternative to domain tranformation and the usual rules can be applied.
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