DG framework for pricing European options under one-factor stochastic volatility models

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dc.contributor.authorHozman Jiřícs
dc.contributor.authorTichý Tomášcs
dc.date.accessioned2020-06-08T09:40:15Z
dc.date.available07-04-2019en
dc.date.available2020-06-08T09:40:15Z
dc.date.issued2018-01-01cs
dc.date.updated15-22-2019en
dc.format.extent16cs
dc.identifier.doi10.1016/j.cam.2018.05.064
dc.identifier.issn0377-0427cs
dc.identifier.urihttps://dspace.tul.cz/handle/15240/155683
dc.language.isoengcs
dc.publisherElsevier Science BVcs
dc.publisher.cityAmsterdamcs
dc.relation.ispartofJournal of Computational and Applied Mathematicsen
dc.relation.ispartofseries0cs
dc.riv.kontrolni-cislo192058100cs
dc.riv.specifikaceRIV/46747885:24510/18:00006299!RIV19-GA0-24510___cs
dc.subjectOption pricing problemcs
dc.subjectBlack-Scholes modelcs
dc.subjectStochastic volatilitycs
dc.subjectDiscontinuous Galerkin frameworkcs
dc.subjectCrank-Nicolson schemecs
dc.titleDG framework for pricing European options under one-factor stochastic volatility modelsen
dc.titleDG framework for pricing European options under one-factor stochastic volatility modelscs
local.citation.epage585-600cs
local.citation.spage585-600cs
local.identifier.publikace6299
local.identifier.wok440394900039en
local.relation.issue12cs
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