Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities

DOI10.1016/j.matcom.2023.01.001MaRDI QIDQ6102949

Christelle Dleuna Nyoumbi, Antoine Tambue

Publication date: 26 June 2023

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

finite element methodstochastic volatilityBlack-Scholes equationstability and convergencefitted finite volume method

Mathematics Subject Classification ID

Fluid mechanics (76-XX) Numerical analysis (65-XX)

Cites Work

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• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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