A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model (Q611761)
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English | A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model |
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A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model (English)
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14 December 2010
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options pricing
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Hobson-Rogers model
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Kolmogorov PDE
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numerical methods
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characteristics scheme
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finite differences
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