RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility (Q1658811)
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scientific article; zbMATH DE number 6918083
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility |
scientific article; zbMATH DE number 6918083 |
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RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility (English)
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15 August 2018
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localized radial basis functions
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multiquadrics
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stochastic volatility
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constant elasticity of variance
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American options
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