On an improved computational solution for the 3D HCIR PDE in finance

DOI10.2478/auom-2019-0042zbMath1488.91162OpenAlexW2997639616MaRDI QIDQ5002904

Esra Karatas Akgül, Ali Akgül, Fazlollah Soleymani

Publication date: 28 July 2021

Published in: Analele Universitatii "Ovidius" Constanta - Seria Matematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2478/auom-2019-0042

zbMATH Keywords

stochastic interest rateHeston modelquadratically convergentfinancial option pricingnonuniform finite difference method

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) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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