On an improved computational solution for the 3D HCIR PDE in finance (Q5002904)
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scientific article; zbMATH DE number 7376140
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On an improved computational solution for the 3D HCIR PDE in finance |
scientific article; zbMATH DE number 7376140 |
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On an improved computational solution for the 3D HCIR PDE in finance (English)
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28 July 2021
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financial option pricing
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stochastic interest rate
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Heston model
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nonuniform finite difference method
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quadratically convergent
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