A computational scheme for uncertain volatility model in option pricing
In this paper we develop a novel numerical scheme for a nonlinear partial differential equation arising from the uncertain volatility model in option pricing. The fitted finite volume method is developed for the space discretization with implicit scheme in time discretization, which results in a non...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Elsevier BV * North-Holland
2009
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| Online Access: | http://hdl.handle.net/20.500.11937/9467 |