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Publication:3306598
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DOI10.13413/J.CNKI.JDXBLXB.2019007zbMath1449.65219MaRDI QIDQ3306598

Xiao-Ting Gan, Renqing Zhao, Dengguo Xu

Publication date: 12 August 2020


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

finite volume methodnumerical experimentHJB equationuncertain volatility option model


Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)








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