A Positivity-Preserving Splitting Method for 2D Black-Scholes Equations in Stochastic Volatility Models

DOI10.1007/978-3-642-41515-9_21zbMath1352.91032OpenAlexW1421296347MaRDI QIDQ2859148

Tatiana Chernogorova, Radoslav L. Valkov

Publication date: 6 November 2013

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-41515-9_21

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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