On convergence of a fitted finite-volume method for the valuation of options on assets with stochastic volatilities
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Publication:3058286
DOI10.1093/imanum/drp016zbMath1201.91198OpenAlexW1977903132WikidataQ59416185 ScholiaQ59416185MaRDI QIDQ3058286
Chieh-Sen Huang, Chen-Hui Hung, Songgui 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
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)
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