An unconditionally monotone numerical scheme for the two-factor uncertain volatility model (Q4683774)
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scientific article; zbMATH DE number 6943793
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An unconditionally monotone numerical scheme for the two-factor uncertain volatility model |
scientific article; zbMATH DE number 6943793 |
Statements
An unconditionally monotone numerical scheme for the two-factor uncertain volatility model (English)
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26 September 2018
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monotone scheme
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fully implicit
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uncertain volatility
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HJB equation
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policy iteration
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hybrid scheme
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