DG framework for pricing European options under one-factor stochastic volatility models (Q724549)
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scientific article; zbMATH DE number 6910439
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| English | DG framework for pricing European options under one-factor stochastic volatility models |
scientific article; zbMATH DE number 6910439 |
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DG framework for pricing European options under one-factor stochastic volatility models (English)
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26 July 2018
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option pricing problem
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Black-Scholes model
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stochastic volatility
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discontinuous Galerkin framework
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Crank-Nicolson scheme
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0.7720280289649963
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0.7634897232055664
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0.7634751796722412
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