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In this chapter we present a slightly broader but concise introduction to the theory of the second order linear partial differential equations than is needed for option pricing, which is provided here for a more balanced treatment and as a preparation for reading more advanced references.

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The Second Order Linear Partial Differential Equations

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  • 发表日期：

    2026年

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  • Geon Ho Choe

摘要

In this chapter we present a slightly broader but concise introduction to the theory of the second order linear partial differential equations than is needed for option pricing, which is provided here for a more balanced treatment and as a preparation for reading more advanced references.