How to Construct a Fourth-Order Scheme for Heston-Hull-White Equation?
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Tarih
2019
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Amer Inst Physics
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
The main objective of the present research is to calculate the weights of a fourth order finite difference (FD) numerical method in option pricing of the financial Heston-Hull-White (HHW) PDE arising in real markets, when in the dynamic of the model, not only the asset price but all the volatility and interest rates are stochastic.
Açıklama
International Conference on Numerical Analysis and Applied Mathematics (ICNAAM) -- SEP 13-18, 2018 -- Rhodes, GREECE
Anahtar Kelimeler
Kaynak
International Conference on Numerical Analysis and Applied Mathematics (Icnaam-2018)
WoS Q Değeri
N/A
Scopus Q Değeri
Q4
Cilt
2116
