A computational scheme for uncertain volatility model in option pricing

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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...

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Bibliographic Details
Main Authors:	Zhang, K., Wang, Song
Format:	Journal Article
Published:	Elsevier BV * North-Holland 2009
Online Access:	http://hdl.handle.net/20.500.11937/9467

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