DG method for the Hull-White option pricing model

Date
2017
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
VŠB - Technical University of Ostrava
Abstract
Description
Subject(s)
Option pricing, stochastic volatility, Hull-White model, discontinuous Galerkin method, Crank-Nicolson scheme
Citation
Item identifier
https://dspace.tul.cz/handle/15240/156633
ISSN
2336-162X
ISBN
978-80-248-4138-0
Collections