A Contour Integral Method for the Black–Scholes and Heston Equations (Q3095083)
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scientific article; zbMATH DE number 5964987
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| English | A Contour Integral Method for the Black–Scholes and Heston Equations |
scientific article; zbMATH DE number 5964987 |
Statements
A Contour Integral Method for the Black–Scholes and Heston Equations (English)
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28 October 2011
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numerical contour integration
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Laplace transform
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matrix exponential
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financial option pricing
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Black-Scholes equation
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Heston equation
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advection-diffusion equation
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quadrature trapezoidal formula
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Krylov iterative method
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numerical results
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0.89840126
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0.8884297
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0.8858483
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0.8749819
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0.87391436
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0.87349564
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0.8718898
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