Removing the Correlation Term in Option Pricing Heston Model : Numerical Analysis and Computing
Joint Authors
Company, R.
Casabán, M.-C.
Jódar, Lucas
Fakharany, M.
Source
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-06-12
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
This paper deals with the numerical solution of option pricing stochastic volatility model described by a time-dependent, two-dimensional convection-diffusion reaction equation.
Firstly, the mixed spatial derivative of the partial differential equation (PDE) is removed by means of the classical technique for reduction of second-order linear partial differential equations to canonical form.
An explicit difference scheme with positive coefficients and only five-point computational stencil is constructed.
The boundary conditions are adapted to the boundaries of the rhomboid transformed numerical domain.
Consistency of the scheme with the PDE is shown and stepsize discretization conditions in order to guarantee stability are established.
Illustrative numerical examples are included.
American Psychological Association (APA)
Company, R.& Jódar, Lucas& Fakharany, M.& Casabán, M.-C.. 2013. Removing the Correlation Term in Option Pricing Heston Model : Numerical Analysis and Computing. Abstract and Applied Analysis،Vol. 2013, no. 2013, pp.1-11.
https://search.emarefa.net/detail/BIM-457015
Modern Language Association (MLA)
Company, R.…[et al.]. Removing the Correlation Term in Option Pricing Heston Model : Numerical Analysis and Computing. Abstract and Applied Analysis No. 2013 (2013), pp.1-11.
https://search.emarefa.net/detail/BIM-457015
American Medical Association (AMA)
Company, R.& Jódar, Lucas& Fakharany, M.& Casabán, M.-C.. Removing the Correlation Term in Option Pricing Heston Model : Numerical Analysis and Computing. Abstract and Applied Analysis. 2013. Vol. 2013, no. 2013, pp.1-11.
https://search.emarefa.net/detail/BIM-457015
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-457015