The PDEs and numerical scheme for derivatives under uncertainty volatility
DOI10.1155/2019/1268301zbMath1435.91185OpenAlexW2947447935WikidataQ114070527 ScholiaQ114070527MaRDI QIDQ2298029
Publication date: 20 February 2020
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2019/1268301
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)
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