Finite difference and element methods for pricing options with stochastic volatility

MaRDI QIDQ3428199zbMATH OpenFDO

Authors Vasile L. Lazăr

Publication date 27 March 2007

zbMATH Keywords

option pricingPDEsstochastic volatility

Mathematics Subject Classification ID

Discrete approximations in optimal control (49M25) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

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(16)

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