A fitted finite volume method for the valuation of options on assets with stochastic volatilities
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Publication:2494013
DOI10.1007/s00607-006-0164-4zbMath1136.91441OpenAlexW2019935264WikidataQ59416201 ScholiaQ59416201MaRDI QIDQ2494013
Chieh-Sen Huang, Chen-Hui Hung, Songgui Wang
Publication date: 16 June 2006
Published in: Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00607-006-0164-4
Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite volume methods applied to problems in solid mechanics (74S10)
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Penalty methods for American options with stochastic volatility
- An exponentially fitted finite volume method for the numerical solution of 2D unsteady incompressible flow problems
- A novel exponentially fitted triangular finite element method for an advection-diffusion problem with boundary layers
- Power penalty method for a linear complementarity problem arising from American option valuation
- A new non-conforming Petrov-Galerkin finite-element method with triangular elements for a singularly perturbed advection-diffusion problem
- A novel fitted finite volume method for the Black-Scholes equation governing option pricing
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- RELAXATION METHODS APPLIED TO DETERMINE THE MOTION, IN TWO DIMENSIONS, OF A VISCOUS FLUID PAST A FIXED CYLINDER
