Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type
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Publication:964936
DOI10.1016/j.cam.2009.12.011zbMath1196.65030OpenAlexW2108710135MaRDI QIDQ964936
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
algorithmnumerical examplecomparison of methodsCauchy problemMalliavin calculusoption pricingadaptivityweak approximationdegenerate parabolic equationfinite-difference methodsstochastic volatility model
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Cites Work
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