A robust spectral method for solving Heston's model

DOI10.1007/s10957-013-0284-xzbMath1302.91195OpenAlexW1991786605MaRDI QIDQ2247922

Kailash C. Patidar, Edson Pindza, Edgard Ngounda

Publication date: 30 June 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10566/3294

zbMATH Keywords

Laplace transformstochastic volatilityspectral methodsHeston's volatility model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (1)

Numerical pricing of American options under two stochastic factor models with jumps using a meshless local Petrov-Galerkin method

Uses Software

• Matlab

Cites Work

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