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Numerical convergence properties of option pricing PDEs with uncertain volatility (Q4807709): Difference between revisions - MaRDI portal

Numerical convergence properties of option pricing PDEs with uncertain volatility (Q4807709): Difference between revisions

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Revision as of 17:52, 20 February 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

    title
    Numerical convergence properties of option pricing PDEs with uncertain volatility (English)
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    author
    D. M. Pooley
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    publication date
    2003
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    zbMATH Keywords
    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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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65M12
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    35L70
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    91G20
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    zbMATH DE Number
    1916540
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