摘要
Abstract
Many practical problems in modern finance can be cast into the framework of stochastic differential equations. The static 1D problem in financial engineering characterized by non-self-adjoint was examined in this paper by using the Quadra-ture Element Method (QEM)for the first time.The quadrature element for the problem mentioned above was established,and numerical results from QEM were compared with the analytic solution,FDM and FEM respectively.It is shown that high com-putational accuracy and efficiency are achieved using QEM,and this method can be further used in dynamic problem,2D prob-lem of financial engineering.关键词
数理经济/数值方法/求积元法Key words
Mathematical Economics/Numerical Method/Quadrature Element Method分类
管理科学
