DG framework for pricing European options under one-factor stochastic volatility models (Q724549): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1016/j.cam.2018.05.064 / rank
 
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Latest revision as of 11:09, 23 September 2024

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DG framework for pricing European options under one-factor stochastic volatility models
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    DG framework for pricing European options under one-factor stochastic volatility models (English)
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    26 July 2018
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    option pricing problem
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    Black-Scholes model
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    stochastic volatility
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    discontinuous Galerkin framework
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    Crank-Nicolson scheme
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