Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM

DOI10.1016/j.camwa.2018.10.047zbMath1442.91105OpenAlexW2901046139WikidataQ128937019 ScholiaQ128937019MaRDI QIDQ2203803

Fazlollah Soleymani, Behzad Nemati Saray

Publication date: 2 October 2020

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2018.10.047

zbMATH Keywords

PDEoption pricingdiscontinuitystochastic interest rateHeston-Hull-White model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

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