On convergence of a fitted finite-volume method for the valuation of options on assets with stochastic volatilities (Q3058286)
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scientific article; zbMATH DE number 5817603
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| English | On convergence of a fitted finite-volume method for the valuation of options on assets with stochastic volatilities |
scientific article; zbMATH DE number 5817603 |
Statements
On convergence of a fitted finite-volume method for the valuation of options on assets with stochastic volatilities (English)
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19 November 2010
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stochastic volatility
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European option pricing
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finite-volume method
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stability and convergence
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0.91994047164917
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0.8514223694801331
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0.8371073007583618
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0.8356390595436096
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