scientific article; zbMATH DE number 6719162

DOI10.13413/J.CNKI.JDXBLXB.2016.05.12MaRDI QIDQ2984384zbMATH OpenFDO

Authors Chunyang Liu, Yuecai Han, Xianrui Lv

Publication date 17 May 2017

Full work available at URL https://doi.org/10.13413/J.CNKI.JDXBLXB.2016.05.12

zbMATH Keywords

butterfly optionnonlinear Black-Scholes-Barenblatt PDEuncertain volatility

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(1)

• A computational scheme for uncertain volatility model in option pricing

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