Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model (Q2044133)
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scientific article; zbMATH DE number 7378242
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model |
scientific article; zbMATH DE number 7378242 |
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Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model (English)
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4 August 2021
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stochastic differential equations
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Black-Scholes model
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Milstein methods
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convergence
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non-negativity
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stability
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