Removing the correlation term in option pricing Heston model: numerical analysis and computing
DOI10.1155/2013/246724zbMATH Open1293.91188OpenAlexW2056904743WikidataQ58915655 ScholiaQ58915655MaRDI QIDQ2015262FDOQ2015262
Authors: M. Fakharany, M.-C. Casabán, R. Company, L. Jódar 
Publication date: 23 June 2014
Published in: Abstract and Applied Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/246724
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- scientific article; zbMATH DE number 2160558
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
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- A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
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- High-order compact finite difference scheme for option pricing in stochastic volatility models
- Multigrid for American option pricing with stochastic volatility
- Time dependent Heston model
- A spectral element approximation to price European options with one asset and stochastic volatility
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- Numerical analysis and computing of a non-arbitrage liquidity model with observable parameters for derivatives
- Consistent stable difference schemes for nonlinear Black-Scholes equations modelling option pricing with transaction costs
Cited In (9)
- Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models
- A mixed derivative terms removing method in multi-asset option pricing problems
- Positive finite difference schemes for a partial integro-differential option pricing model
- A quick operator splitting method for option pricing
- A positive flux limited difference scheme for the uncertain correlation 2D Black-Scholes problem
- An efficient method for solving spread option pricing problem: numerical analysis and computing
- Numerical valuation of two-asset options under jump diffusion models using Gauss-Hermite quadrature
- Numerical Analysis of Novel Finite Difference Methods
- A variable step‐size extrapolated Crank–Nicolson method for option pricing under stochastic volatility model with jump
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