Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation (Q465088)
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scientific article; zbMATH DE number 6362751
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation |
scientific article; zbMATH DE number 6362751 |
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Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation (English)
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31 October 2014
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Heston-Hull-White model
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COS method
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ADI scheme
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error analysis
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