Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type

DOI10.1016/j.cam.2009.12.011zbMath1196.65030OpenAlexW2108710135MaRDI QIDQ964936

Kaj Nyström, Marie Frentz

Publication date: 21 April 2010

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2009.12.011

zbMATH Keywords

algorithmnumerical examplecomparison of methodsCauchy problemMalliavin calculusoption pricingadaptivityweak approximationdegenerate parabolic equationfinite-difference methodsstochastic volatility model

Mathematics Subject Classification ID

Cites Work

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