Hybrid finite-difference/pseudospectral methods for the Heston and Heston-Hull-White partial differential equations
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 | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Analysis | Mathematical analysis | Experiment |
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