Convergence analysis of the discrete duality finite volume scheme for the regularised Heston model

DOI10.3934/dcdss.2020226zbMath1472.65106OpenAlexW2996512798WikidataQ126394970 ScholiaQ126394970MaRDI QIDQ830058

Angela Handlovičová, Matúš Tibenský

Publication date: 7 May 2021

Published in: Discrete and Continuous Dynamical Systems. Series S (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdss.2020226

zbMATH Keywords

Heston modeldiscrete duality finite volume methodfinancial derivative pricing

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Smoothness and regularity of solutions to PDEs (35B65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Weak solutions to PDEs (35D30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Diamond-cell finite volume scheme for the Heston model
• Study of a finite volume scheme for the regularized mean curvature flow level set equation
• Discrete duality finite volume schemes for Leray−Lions−type elliptic problems on general 2D meshes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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