scientific article; zbMATH DE number 2160558
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Publication:4670542
option pricingfinite volume methodstochastic volatilitystochastic differential equation of diffusive type
Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs with randomness, stochastic partial differential equations (35R60) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)
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- Removing the correlation term in option pricing Heston model: numerical analysis and computing
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