Numerical convergence properties of option pricing PDEs with uncertain volatility (Q4807709)
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scientific article; zbMATH DE number 1916540
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| English | Numerical convergence properties of option pricing PDEs with uncertain volatility |
scientific article; zbMATH DE number 1916540 |
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Numerical convergence properties of option pricing PDEs with uncertain volatility (English)
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2003
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nonlinear PDE
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option pricing
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convergence
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viscosity solution
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uncertain volatility
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0.8405567407608032
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0.8382093906402588
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0.8085177540779114
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0.7902708649635315
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0.7760428786277771
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