Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes (Q2874319)
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scientific article; zbMATH DE number 6251755
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes |
scientific article; zbMATH DE number 6251755 |
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Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes (English)
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29 January 2014
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alternating direction implicit schemes
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financial option pricing
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finite difference methods
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hedging quantities
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Heston-Cox-Ingersoll-Ross partial differential equation
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