A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model (Q611761)

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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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