Numerical approximation for a superreplication problem under gamma constraints (Q3578075)
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scientific article; zbMATH DE number 5736095
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| English | Numerical approximation for a superreplication problem under gamma constraints |
scientific article; zbMATH DE number 5736095 |
Statements
Numerical Approximation for a Superreplication Problem under Gamma Constraints (English)
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13 July 2010
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superreplication problem
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viscosity solution
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numerical approximation
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generalized finite difference scheme
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monotone scheme
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Howard's algorithm
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0.8936306238174438
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0.8818099498748779
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0.88156658411026
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0.869960606098175
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