A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model (Q611761)
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scientific article; zbMATH DE number 5826680
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model |
scientific article; zbMATH DE number 5826680 |
Statements
A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model (English)
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14 December 2010
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options pricing
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Hobson-Rogers model
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Kolmogorov PDE
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numerical methods
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characteristics scheme
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finite differences
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