Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model

DOI10.1007/S13160-020-00443-XzbMath1469.60179OpenAlexW3087294031MaRDI QIDQ2044133

Qiang Ye, Mahmoud A. Eissa

Publication date: 4 August 2021

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13160-020-00443-x

zbMATH Keywords

stabilityconvergencestochastic differential equationsBlack-Scholes modelnon-negativityMilstein methods

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical solutions to stochastic differential and integral equations (65C30)

Uses Software

• RODAS

Cites Work

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