Finite-volume difference scheme for the Black-Scholes equation in stochastic volatility models (Q3075290)
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scientific article; zbMATH DE number 5850333
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| English | Finite-volume difference scheme for the Black-Scholes equation in stochastic volatility models |
scientific article; zbMATH DE number 5850333 |
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Finite-Volume Difference Scheme for the Black-Scholes Equation in Stochastic Volatility Models (English)
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11 February 2011
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Black-Scholes equation
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dynamical boundary condition
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finite difference
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finite volume
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0.8656891584396362
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0.8523119688034058
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0.8514223694801331
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0.8288537859916687
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