Numerical convergence properties of option pricing PDEs with uncertain volatility

IMA Journal of Numerical Analysis

Volumn 23, Issue 2, 2003, Pages 241-267

  Pooley, D M ^a   Forsyth, P A ^a   Vetzal, K R ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Convergence; Nonlinear PDE; Option pricing; Uncertain volatility; Viscosity solution

Indexed keywords

COSTS; ECONOMICS; FINANCIAL MARKETS; PARTIAL DIFFERENTIAL EQUATIONS;

CONVERGENCE; NON LINEAR PDE; OPTION PRICING; UNCERTAIN VOLATILITY; VISCOSITY SOLUTIONS;

NONLINEAR EQUATIONS;

EID: 0038150517     PISSN: 02724979     EISSN: None     Source Type: Journal    
DOI: 10.1093/imanum/23.2.241     Document Type: Article

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