On convergence of a fitted finite-volume method for the valuation of options on assets with stochastic volatilities
DOI10.1093/IMANUM/DRP016zbMATH Open1201.91198OpenAlexW1977903132WikidataQ59416185 ScholiaQ59416185MaRDI QIDQ3058286FDOQ3058286
Authors: Chieh-Sen Huang, Chen-Hui Hung, Song Wang 
Publication date: 19 November 2010
Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imanum/drp016
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- Finite difference and element methods for pricing options with stochastic volatility
- A positivity-preserving splitting method for 2D Black-Scholes equations in stochastic volatility models
- Convergence rates results for recovering the volatility term structure including at-the-money options
- A partial differential equation connected to option pricing with stochastic volatility: Regularity results and discretization
- Finite volume method of option pricing model under uncertain volatility
- Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities
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- An efficient symmetric finite volume element method for second-order variable coefficient parabolic integro-differential equations
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