Numerical convergence properties of option pricing PDEs with uncertain volatility (Q4807709): Difference between revisions
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| Property / DOI: 10.1093/imanum/23.2.241 / rank | |||
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| Property / author: Q175883 / rank | |||
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| Property / author: Kenneth Vetzal / rank | |||
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| Property / author: Peter A. I. Forsyth / rank | |||
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| Property / author: Kenneth Vetzal / rank | |||
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| Property / full work available at URL: https://doi.org/10.1093/imanum/23.2.241 / rank | |||
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| Property / OpenAlex ID: W2115163964 / rank | |||
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| Property / DOI: 10.1093/IMANUM/23.2.241 / rank | |||
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Latest revision as of 15:14, 30 December 2024
scientific article; zbMATH DE number 1916540
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Numerical convergence properties of option pricing PDEs with uncertain volatility |
scientific article; zbMATH DE number 1916540 |
Statements
Numerical convergence properties of option pricing PDEs with uncertain volatility (English)
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2003
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nonlinear PDE
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option pricing
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convergence
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viscosity solution
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uncertain volatility
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