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

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Bibliografske podrobnosti
izdano v:	Numerical Algorithms vol. 98, no. 1 (Jan 2025), p. 287
Izdano:	Springer Nature B.V.
Teme:	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
Online dostop:	Citation/Abstract Full Text Full Text - PDF
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