Finite volume method of option pricing model under uncertain volatility (Q3306598)
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scientific article; zbMATH DE number 7233894
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| English | Finite volume method of option pricing model under uncertain volatility |
scientific article; zbMATH DE number 7233894 |
Statements
12 August 2020
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uncertain volatility option model
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finite volume method
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HJB equation
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numerical experiment
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0.9026370048522948
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0.8405194282531738
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0.8356390595436096
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0.833854615688324
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