1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.NA2021
Approximate Solutions to Second-Order Parabolic Equations: evolution systems and discretization
Wen Cheng, Anna L. Mazzucato, Victor Nistor
We study the discretization of a linear evolution partial differential equation when its Green function is known. We provide error estimates both for the spatial approximation and…
q-fin.PR2009★ 1 cited
Closed form asymptotics for local volatility models
Wen Cheng, Nick Costanzino, John Liechty +2
We obtain new closed-form pricing formulas for contingent claims when the asset follows a Dupire-type local volatility model. To obtain the formulas we use the Dyson-Taylor commuta…