Removing the correlation term in option pricing Heston model: numerical analysis and computing

DOI10.1155/2013/246724zbMath1293.91188OpenAlexW2056904743WikidataQ58915655 ScholiaQ58915655MaRDI QIDQ2015262

M. Fakharany, M. C. Casabán, Lucas Jodar, Rafael Company

Publication date: 23 June 2014

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/246724

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (9)

A mixed derivative terms removing method in multi-asset option pricing problems ⋮ Positive finite difference schemes for a partial integro-differential option pricing model ⋮ An efficient method for solving spread option pricing problem: numerical analysis and computing ⋮ Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature ⋮ A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump ⋮ Numerical Analysis of Novel Finite Difference Methods ⋮ Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models ⋮ A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem ⋮ A quick operator splitting method for option pricing

Cites Work

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