Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes
DOI10.1080/00207160.2013.777710zbMath1281.91184WikidataQ115315114 ScholiaQ115315114MaRDI QIDQ2874319
Publication date: 29 January 2014
Published in: International Journal of Computer Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207160.2013.777710
finite difference methods; alternating direction implicit schemes; financial option pricing; hedging quantities; Heston-Cox-Ingersoll-Ross partial differential equation
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.)
60H15: Stochastic partial differential equations (aspects of stochastic analysis)
35R60: PDEs with randomness, stochastic partial differential equations
65M20: Method of lines for initial value and initial-boundary value problems involving PDEs
65L04: Numerical methods for stiff equations
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