An unconditionally monotone numerical scheme for the two-factor uncertain volatility model
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Publication:4683774
DOI10.1093/imanum/drw025zbMath1433.65162OpenAlexW2182855411MaRDI QIDQ4683774
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Publication date: 26 September 2018
Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/7e24ef6a8ea800b71e4f4755753225f93a3c903f
Numerical methods (including Monte Carlo methods) (91G60) Stochastic models in economics (91B70) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
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