On an improved computational solution for the 3D HCIR PDE in finance

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dc.contributor.authorSoleymani, Fazlollah
dc.contributor.authorAkgul, Ali
dc.contributor.authorAkgul, Esra Karatas
dc.date.accessioned2024-12-24T19:30:48Z
dc.date.available2024-12-24T19:30:48Z
dc.date.issued2019
dc.departmentSiirt Üniversitesi
dc.description.abstractThe aim of this work is to tackle the three-dimensional (3D) Heston-Cox-Ingersoll-Ross (HCIR) time-dependent partial differential equation (PDE) computationally by employing a non-uniform discretization and gathering the finite difference (FD) weighting coefficients into differentiation matrices. In fact, a non-uniform discretization of the 3D computational domain is employed to achieve the second-order of accuracy for all the spatial variables. It is contributed that under what conditions the proposed procedure is stable. This stability bound is novel in literature for solving this model. Several financial experiments are worked out along with computation of the hedging quantities Delta and Gamma.
dc.identifier.doi10.2478/auom-2019-0042
dc.identifier.endpage230
dc.identifier.issn1224-1784
dc.identifier.issn1844-0835
dc.identifier.issue3
dc.identifier.scopus2-s2.0-85078157147
dc.identifier.scopusqualityQ3
dc.identifier.startpage207
dc.identifier.urihttps://doi.org/10.2478/auom-2019-0042
dc.identifier.urihttps://hdl.handle.net/20.500.12604/7686
dc.identifier.volume27
dc.identifier.wosWOS:000498863500013
dc.identifier.wosqualityQ2
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherOvidius Univ Press
dc.relation.ispartofAnalele Stiintifice Ale Universitatii Ovidius Constanta-Seria Matematica
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/openAccess
dc.snmzKA_20241222
dc.subjectFinancial option pricing
dc.subjectstochastic interest rate
dc.subjectHeston model
dc.subjectnon-uniform finite difference method
dc.subjectquadratically convergent
dc.titleOn an improved computational solution for the 3D HCIR PDE in finance
dc.typeArticle

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