Convergence analysis of the discrete duality finite volume scheme for the regularised Heston model
DOI10.3934/DCDSS.2020226zbMATH Open1472.65106OpenAlexW2996512798WikidataQ126394970 ScholiaQ126394970MaRDI QIDQ830058FDOQ830058
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
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Cites Work
- The pricing of options and corporate liabilities
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
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- 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
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- Diamond-cell finite volume scheme for the Heston model
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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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