Hybrid finite-difference/pseudospectral methods for the Heston and Heston-Hull-White partial differential equations
Christian Hendricks, Matthias Ehrhardt and Michael Günther
| Year of publication: |
April 2018
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|---|---|
| Authors: | Hendricks, Christian ; Ehrhardt, Matthias ; Günther, Michael |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 21.2017/2018, 5, p. 1-33
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| Subject: | stochastic volatility models | Heston | Heston-Hull-White | spectral method | finite differences | alternating direction implicit scheme | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2018.342 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011860891