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| Author: | Little, T. Pant, V. |
| Title: | A PDE method for computing moments |
| Journal: | Journal of Computational Finance
2001 : FALL, VOL. 4:1, p. 5-20 |
| Index terms: | Electronic data processing Computer technology Numerical computation Derivative securities |
| Language: | eng |
| Abstract: | This paper presents a partial differential equation method for computing the moments of a certain class of functionals in the Black-Scholes framework. It is shown that, for this set of functionals, a change of variables can be used to reduce the dimension of the problem. The moments can be found by numerically solving one-dimensional partial differential equations. The method is demonstrated by obtaining numerical solutions for the moments of the consinuous arithmetic average. |
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