How to Construct a Fourth-Order Scheme for Heston-Hull-White Equation?

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dc.contributor.authorAkgul, Ali
dc.contributor.authorSoleymani, Fazlollah
dc.date.accessioned2024-12-24T19:24:03Z
dc.date.available2024-12-24T19:24:03Z
dc.date.issued2019
dc.departmentSiirt Üniversitesi
dc.descriptionInternational Conference on Numerical Analysis and Applied Mathematics (ICNAAM) -- SEP 13-18, 2018 -- Rhodes, GREECE
dc.description.abstractThe 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.
dc.description.sponsorshipEuropean Soc Computat Methods Sci & Engn
dc.identifier.doi10.1063/1.5114233
dc.identifier.isbn978-0-7354-1854-7
dc.identifier.issn0094-243X
dc.identifier.scopus2-s2.0-85069971279
dc.identifier.scopusqualityQ4
dc.identifier.urihttps://doi.org/10.1063/1.5114233
dc.identifier.urihttps://hdl.handle.net/20.500.12604/5826
dc.identifier.volume2116
dc.identifier.wosWOS:000521108600232
dc.identifier.wosqualityN/A
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherAmer Inst Physics
dc.relation.ispartofInternational Conference on Numerical Analysis and Applied Mathematics (Icnaam-2018)
dc.relation.publicationcategoryKonferans Öğesi - Uluslararası - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_20241222
dc.titleHow to Construct a Fourth-Order Scheme for Heston-Hull-White Equation?
dc.typeConference Object

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