Polynomial chaos for simulating random volatilities
type: Item
instance of: scholarly article
title: Polynomial chaos for simulating random volatilities
zbMATH Open document ID: 1180.91312
author: Roland Pulch
author: Cathrin Van Emmerich
published in: Mathematics and Computers in Simulation
publication date: 2009-11-16T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M20
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 5633803
zbMATH Keywords: polynomial chaos
zbMATH Keywords: parabolic equation
zbMATH Keywords: method of lines
zbMATH Keywords: volatility
zbMATH Keywords: option price
describes a project that uses: Matlab
describes a project that uses: RODAS
MaRDI profile type: Publication
full work available at URL: j.matcom.2009.05.008
OpenAlex ID: W2048263845
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DOI: 10.1016/J.MATCOM.2009.05.008
description: scientific article; zbMATH DE number 5633803