On convergence of a fitted finite-volume method for the valuation of options on assets with stochastic volatilities

DOI10.1093/imanum/drp016zbMath1201.91198OpenAlexW1977903132WikidataQ59416185 ScholiaQ59416185MaRDI QIDQ3058286

Chieh-Sen Huang, Chen-Hui Hung, Songgui Wang

Publication date: 19 November 2010

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imanum/drp016

zbMATH Keywords

stochastic volatility stability and convergence European option pricing finite-volume method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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