DG framework for pricing European options under one-factor stochastic volatility models
Date
2018
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Elsevier Science BV
Abstract
Description
Subject(s)
Option pricing problem, Black-Scholes model, Stochastic volatility, Discontinuous Galerkin framework, Crank-Nicolson scheme
Citation
ISSN
0377-0427