Numerical convergence properties of option pricing PDEs with uncertain volatility
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Publication:4807709
DOI10.1093/IMANUM/23.2.241zbMATH Open1040.91053OpenAlexW2115163964MaRDI QIDQ4807709FDOQ4807709
Authors: D. M. Pooley, P. A. Forsyth, K. R. Vetzal 
Publication date: 2003
Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imanum/23.2.241
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Second-order nonlinear hyperbolic equations (35L70) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
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