Ansgar Jüngel

Fachbereich Mathematik und Informatik, University of Mainz

D-55099 Mainz

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

650

SSRN CITATIONS

2

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation

University of Konstanz Center of Finance and Econometrics Discussion Paper No. 01/07
Number of pages: 28 Posted: 26 Mar 2004
Bertram Düring, Michel Fournie and Ansgar Jüngel
University of Warwick - Mathematics Institute, Université Paul Sabatier Toulouse III and Fachbereich Mathematik und Informatik, University of Mainz
Downloads 249 (170,450)
Citation 2

Abstract:

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Option pricing, transaction costs, parabolic equations, compact finite difference discretizations

2.

Convergence of a High-Order Compact Finite Difference Scheme for a Nonlinear Black-Scholes Equation

University of Konstanz Discussion Paper No. 04/02
Number of pages: 16 Posted: 26 Mar 2004
Bertram Düring, Michel Fournie and Ansgar Jüngel
University of Warwick - Mathematics Institute, Université Paul Sabatier Toulouse III and Fachbereich Mathematik und Informatik, University of Mainz
Downloads 189 (220,343)
Citation 1

Abstract:

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High-order compact finite differences, numerical convergence, viscosity solution, financial derivatives

3.

A Sequential Quadratic Programming Method for Volatility Estimation in Option Pricing

Number of pages: 27 Posted: 14 May 2007
Bertram Düring, Ansgar Jüngel and Stefan Volkwein
University of Warwick - Mathematics Institute, Fachbereich Mathematik und Informatik, University of Mainz and University of Graz
Downloads 137 (287,404)

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Dupire equation, parameter identification, optimal control, optimality

4.

A Quasilinear Parabolic Equation with Quadratic Growth of the Gradient Modeling Incomplete Financial Markets

University of Konstanz Discussion Paper No. 04/01
Number of pages: 27 Posted: 22 Mar 2004
Bertram Düring and Ansgar Jüngel
University of Warwick - Mathematics Institute and Fachbereich Mathematik und Informatik, University of Mainz
Downloads 75 (427,014)
Citation 1

Abstract:

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Quasilinear PDE, quadratic gradient, existence and uniqueness of solutions, optimal portfolio, incomplete market