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ALGORITHM FOR GENERALIZED GARMAN EQUATION IN OPTION PRICING OF A FINANCIAL DERIVATIVES WITH STOCHASTIC VOLATILITY MODELS
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Abstract
In our paper we build a reccurence from generalized Garman equation and discretization of 3-dimensional domain. From reccurence we build an algorithm for computing values of an option based on time, momentan volatility of support and value of support on afinancial derivatives, Black-Scholes PDE, Garman PDE, reccurence, algorithm