Diamond-cell finite volume scheme for the Heston model

DOI10.3934/dcdss.2015.8.913zbMath1317.35103OpenAlexW2551055368MaRDI QIDQ2515716

Pavol Kútik, Karol Mikula

Publication date: 6 August 2015

Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdss.2015.8.913

zbMATH Keywords

numerical solutionfinite volumestensor diffusiondiamond-cell

Mathematics Subject Classification ID

Numerical solutions to equations with linear operators (65J10) Second-order parabolic equations (35K10) Finite volume methods for boundary value problems involving PDEs (65N08)

Related Items (2)

Convergence analysis of the discrete duality finite volume scheme for the regularised Heston model ⋮ An iterative splitting method for pricing European options under the Heston model

Cites Work

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• ADI finite difference schemes for option pricing in the Heston model with correlation

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