scientific article; zbMATH DE number 2160558
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Publication:4670542
finite volume methodoption pricingstochastic differential equation of diffusive typestochastic volatility
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs with randomness, stochastic partial differential equations (35R60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Numerical methods (including Monte Carlo methods) (91G60)
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