An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model (Q6660858)
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scientific article; zbMATH DE number 7965178
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model |
scientific article; zbMATH DE number 7965178 |
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An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model (English)
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10 January 2025
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cubic B-spline quasi-interpolation
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Euler's method
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stability
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geometric Asian power option
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mixed fractional Brownian motion
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stochastic volatility model
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