scientific article; zbMATH DE number 2160558
zbMATH Open1067.35135MaRDI QIDQ4670542FDOQ4670542
Authors: Cyril Ungvarský, Karol Mikula 
Publication date: 22 April 2005
Title of this publication is not available (Why is that?)
Recommendations
- On convergence of a fitted finite-volume method for the valuation of options on assets with stochastic volatilities
- A fitted finite volume method for the valuation of options on assets with stochastic volatilities
- Finite-volume difference scheme for the Black-Scholes equation in stochastic volatility models
- Numerical solutions for option pricing models including transaction costs and stochastic volatility
- scientific article; zbMATH DE number 6746630
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)
Cited In (7)
- Solutions of two-factor models with variable interest rates
- NUMERICAL SOLUTIONS OF OPTION PRICING MODEL WITH LIQUIDITY RISK
- DG framework for pricing European options under one-factor stochastic volatility models
- Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities
- NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
- Removing the correlation term in option pricing Heston model: numerical analysis and computing
- Numerical methods applied to option pricing models with transaction costs and stochastic volatility
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4670542)
