A computational scheme for uncertain volatility model in option pricing
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Publication:1030664
DOI10.1016/j.apnum.2009.01.004zbMath1400.91624OpenAlexW2075557034WikidataQ59416187 ScholiaQ59416187MaRDI QIDQ1030664
Publication date: 2 July 2009
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2009.01.004
finite volume methodviscosity solutionoption pricingnonlinear partial differential equationuncertain volatility model
Stochastic models in economics (91B70) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
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