An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model

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Detalles Bibliográficos
Publicado en:	Numerical Algorithms vol. 98, no. 1 (Jan 2025), p. 287
Publicado:	Springer Nature B.V.
Materias:	Accuracy Computers Hedging Partial differential equations Mathematical analysis Brownian motion Numerical analysis Boundary conditions Exact solutions Approximation Stochastic models Algorithms Methods Numerical methods Put & call options
Acceso en liña:	Citation/Abstract Full Text Full Text - PDF
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