Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation

DOI10.1016/j.apnum.2013.06.004zbMath1300.91048OpenAlexW2066110688WikidataQ115360416 ScholiaQ115360416MaRDI QIDQ465088

Lech A. Grzelak, Shimin Guo, Cornelis W. Oosterlee

Publication date: 31 October 2014

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2013.06.004

zbMATH Keywords

error analysisCOS methodADI schemeHeston-Hull-White model

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

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