Bearbmagovva

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

Furkejuvvon:
Publikašuvnnas:Numerical Algorithms vol. 98, no. 1 (Jan 2025), p. 287
Almmustuhtton:
Springer Nature B.V.
Fáttát:
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
Liŋkkat:Citation/Abstract
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