A computational scheme for uncertain volatility model in option pricing
type: Item
instance of: scholarly article
title: A computational scheme for uncertain volatility model in option pricing
zbMATH Open document ID: 1400.91624
author: Kai Zhang
author: Song Wang
published in: Applied Numerical Mathematics
publication date: 2009-07-02T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 5574496
zbMATH Keywords: uncertain volatility model
zbMATH Keywords: option pricing
zbMATH Keywords: finite volume method
zbMATH Keywords: nonlinear partial differential equation
zbMATH Keywords: viscosity solution
MaRDI profile type: Publication
full work available at URL: j.apnum.2009.01.004
OpenAlex ID: W2075557034
Wikidata QID: Q59416187
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DOI: 10.1016/J.APNUM.2009.01.004
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description: scientific article; zbMATH DE number 5574496