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

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scientific article; zbMATH DE number 1916540
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English
Numerical convergence properties of option pricing PDEs with uncertain volatility
scientific article; zbMATH DE number 1916540

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    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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