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On an improved computational solution for the 3D HCIR PDE in finance Cover

On an improved computational solution for the 3D HCIR PDE in finance

Analele ştiinţifice ale Universităţii "Ovidius" Constanţa. Seria Matematică
Volume 27 (2019): Issue 3 (December 2019)
By: Fazlollah Soleymani,  Ali Akgül and  Esra Karatas Akgül  
Open Access
|Dec 2019

Authors

Fazlollah Soleymani

fazlollah.soleymani@gmail.com

Department of Mathematics, Institute for Advanced Studies in Basic Sciences (IASBS), Zanjan

Ali Akgül

aliakgul@siirt.edu.tr

Department of Mathematics, Art and Science Faculty, Siirt University, Siirt, Turkey

Esra Karatas Akgül

esrakaratas@siirt.edu.tr

Department of Mathematics, Faculty of Education, Siirt University, Siirt, Turkey
DOI: https://doi.org/10.2478/auom-2019-0042 | Journal eISSN: 1844-0835 | Journal ISSN: 1224-1784
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Language: English
Page range: 207 - 230
Submitted on: Oct 23, 2018
|
Accepted on: Jan 31, 2019
|
Published on: Dec 21, 2019
Published by: Ovidius University of Constanta
In partnership with: Paradigm Publishing Services
Publication frequency: 3 issues per year
Keywords:
Financial option pricing,
stochastic interest rate,
Heston model,
non– uniform finite difference method,
quadratically convergent
Related subjects:
Mathematics,
General mathematics

© 2019 Fazlollah Soleymani, Ali Akgül, Esra Karatas Akgül, published by Ovidius University of Constanta
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.

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