On convergence of a fitted finite-volume method for the valuation of options on assets with stochastic volatilities
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Publication:3058286
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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