An unconditionally monotone numerical scheme for the two-factor uncertain volatility model (Q4683774)
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scientific article; zbMATH DE number 6943793
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| English | An unconditionally monotone numerical scheme for the two-factor uncertain volatility model |
scientific article; zbMATH DE number 6943793 |
Statements
An unconditionally monotone numerical scheme for the two-factor uncertain volatility model (English)
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26 September 2018
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monotone scheme
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fully implicit
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uncertain volatility
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HJB equation
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policy iteration
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hybrid scheme
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0.8550341725349426
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0.8405567407608032
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0.8275790214538574
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0.767925500869751
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0.7655444741249084
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