Analysis of an uncertain volatility model (Q955456)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of an uncertain volatility model |
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Analysis of an uncertain volatility model (English)
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20 November 2008
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Summary: We examine, from both analytical and numerical viewpoints, the uncertain volatility model by Hobson-Rogers in the framework of degenerate parabolic PDEs of Kolmogorov type.
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