Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation (Q465088)
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scientific article; zbMATH DE number 6362751
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| English | Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation |
scientific article; zbMATH DE number 6362751 |
Statements
Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation (English)
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31 October 2014
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Heston-Hull-White model
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COS method
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ADI scheme
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error analysis
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0.7989625334739685
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0.7588900923728943
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0.7547352313995361
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0.7471930384635925
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0.7451097965240479
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