Convergence analysis of the discrete duality finite volume scheme for the regularised Heston model

DOI10.3934/DCDSS.2020226MaRDI QIDQ830058zbMATH OpenOpenAlexWikidataFDO

Authors Matúš Tibenský, Angela Handlovičová

Publication date 7 May 2021

Published in Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/dcdss.2020226

zbMATH Keywords

Heston modeldiscrete duality finite volume methodfinancial derivative pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Smoothness and regularity of solutions to PDEs (35B65) Weak solutions to PDEs (35D30) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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Cites work

• scientific article; zbMATH DE number 3125480 (Why is no real title available?)
• scientific article; zbMATH DE number 6285130 (Why is no real title available?)
• scientific article; zbMATH DE number 3277871 (Why is no real title available?)
• scientific article; zbMATH DE number 3345727 (Why is no real title available?)
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Diamond-cell finite volume scheme for the Heston model
• Discrete duality finite volume schemes for Leray−Lions−type elliptic problems on general 2D meshes
• Finite volume methods
• Study of a finite volume scheme for the regularized mean curvature flow level set equation
• The pricing of options and corporate liabilities

Cited in

(4)

• Discretising the Heston model: an analysis of the weak convergence rate
• Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
• Diamond-cell finite volume scheme for the Heston model
• Study of Discrete Duality Finite Volume Schemes for the Peaceman Model

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