Removing the correlation term in option pricing Heston model: numerical analysis and computing

DOI10.1155/2013/246724zbMath1293.91188WikidataQ58915655 ScholiaQ58915655MaRDI QIDQ2015262

M. C. Casabán, Rafael Company, M. Fakharany, Lucas Jodar

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

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)