A fitted finite volume method for the valuation of options on assets with stochastic volatilities (Q2494013)
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scientific article; zbMATH DE number 5033526
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| English | A fitted finite volume method for the valuation of options on assets with stochastic volatilities |
scientific article; zbMATH DE number 5033526 |
Statements
A fitted finite volume method for the valuation of options on assets with stochastic volatilities (English)
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16 June 2006
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Black-Scholes equation
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option pricing
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finite volume method
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stochastic volatility
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0.91994047164917
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0.9118817448616028
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0.8656891584396362
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0.8580422401428223
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