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Some nonlinear PDEs partial differential equations are exactly solvable. As an example, nonlinear PDEs such as the Soliton equation were shown to be exactly solvable by quantum operator methods. More recently the Boltzmann equation was solved exactly as well. A question is are other equations...
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equations of the type that typically appear in theory of derivatives pricing and stochastic volatility modeling. Our technique …
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We analyse the Galerkin Infinite Element method for pricing European barrier options and, more generally, options with … are considered: (i) the degeneracy of the pricing PDE models at hand; (ii) the presence of discontinuities at the barriers …
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