Computation of the effects of uncertainty in volatility on option pricing and hedging
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Publication:4903549
DOI10.1080/00207160.2012.688819zbMath1255.91433MaRDI QIDQ4903549
Motoi Namihira, David A. Kopriva
Publication date: 22 January 2013
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2012.688819
91G60: Numerical methods (including Monte Carlo methods)
65N75: Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs
65C05: Monte Carlo methods
65N35: Spectral, collocation and related methods for boundary value problems involving PDEs
91G80: Financial applications of other theories
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Cites Work
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