Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
type: Item
instance of: scholarly article
title: Convergence, non-negativity and stability of a new lobatto IIIC-Milstein method for a pricing option approach based on stochastic volatility model
zbMATH Open document ID: 1469.60179
author: Mahmoud A. Eissa
author: Qiang Ye
published in: Japan Journal of Industrial and Applied Mathematics
publication date: 2021-08-04T00:00:00Z
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 65C30
zbMATH DE Number: 7378242
zbMATH Keywords: stochastic differential equations
zbMATH Keywords: Black-Scholes model
zbMATH Keywords: Milstein methods
zbMATH Keywords: convergence
zbMATH Keywords: non-negativity
zbMATH Keywords: stability
describes a project that uses: RODAS
MaRDI profile type: Publication
full work available at URL: s13160-020-00443-x
OpenAlex ID: W3087294031
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DOI: 10.1007/S13160-020-00443-X
description: scientific article; zbMATH DE number 7378242