On pricing European options under HCIR model: a comparative study

MaRDI QIDQ4612321zbMATH OpenFDO

Authors J. Biazar, Fereshteh Goldoust, Farshid Mehrdoust

Publication date 31 January 2019

Full work available at URL https://camo.ici.ro/journal/vol16/v16c6.pdf

zbMATH Keywords

Adomian decomposition method (ADM)Heston-Cox-Ingersoll-Ross (HCIR) partial differential equationhomotopy perturbation method (HPM)option pricing

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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(3)

• scientific article; zbMATH DE number 5132722 (Why is no real title available?)
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