A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model (Q611761)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model |
scientific article |
Statements
A characteristics-finite differences method for the Hobson-Rogers uncertain volatility model (English)
0 references
14 December 2010
0 references
options pricing
0 references
Hobson-Rogers model
0 references
Kolmogorov PDE
0 references
numerical methods
0 references
characteristics scheme
0 references
finite differences
0 references
0 references
0 references
0 references
