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A Positivity-Preserving Numerical Scheme for Nonlinear Option Pricing Models.

Shengwu ZhouWei LiYu WeiCui Wen
Published in: J. Appl. Math. (2012)
Keyphrases
  • option pricing
  • decision making
  • partial differential equations
  • historical data
  • feature selection
  • dynamic programming
  • probabilistic model
  • high order
  • anisotropic diffusion
  • numerical scheme