Stability estimates for Discrete duality finite volume scheme of Heston model
Stability estimates for Discrete duality finite volume scheme of Heston model
A. Handlovicová
2017 · DOI: 10.7494/cmms.2017.2.0596
2 Citations
TLDR
Stability estimates for discrete duality finite volume scheme for proposed model is presented and Numerical experiments using proposed method and comparing it with previous numerical scheme are included.
Abstract
Tensor diffusion equation represents an important model in many fields of science. We focused our attention to the problem which arises in financial mathematics and is known as 2D Heston model. Stability estimates for discrete duality finite volume scheme for proposed model is presented. Numerical experiments using proposed method and comparing it with previous numerical scheme are included