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Removing the Correlation Term in Option Pricing HestonModel: Numerical Analysis and Computing

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Removing the Correlation Term in Option Pricing HestonModel: Numerical Analysis and Computing

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Company Rossi, R.; Jódar Sánchez, LA.; El-Fakharany, M.; Casabán Bartual, MC. (2013). Removing the Correlation Term in Option Pricing HestonModel: Numerical Analysis and Computing. Abstract and Applied Analysis. 2013:1-11. doi:10.1155/2013/246724

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/39490

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Title: Removing the Correlation Term in Option Pricing HestonModel: Numerical Analysis and Computing
Author:
UPV Unit: Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària
Issued date:
Abstract:
[EN] This paper deals with the numerical solution of option pricing stochastic volatility model described by a time-dependent, twodimensional convection-diffusion reaction equation. Firstly, the mixed spatial derivative ...[+]
Subjects: Stochastic volatility
Copyrigths: Reconocimiento (by)
Source:
Abstract and Applied Analysis. (issn: 1085-3375 )
DOI: 10.1155/2013/246724
Publisher:
Hindawi Publishing Corporation
Publisher version: http://dx.doi.org/10.1155/2013/246724
Project ID: info:eu-repo/grantAgreement/EC/FP7/304617
Thanks:
This work has been partially supported by the European Union in the FP7-PEOPLE-2012-ITN Program under Grant Agreement no. 304617 (FP7 Marie Curie Action, Project Multi-ITN STRIKE-Novel Methods in Computational Finance) and ...[+]
Type: Artículo

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