Publication
Title
Positive numerical splitting method for the hull and white 2D black-scholes equation
Author
Abstract
We consider the locally one-dimensional backward Euler splitting method to solve numerically the Hull and White problem for pricing European options with stochastic volatility in the presence of a mixed derivative term. We prove the first-order convergence of the time-splitting. The parabolic equation degenerates on the boundary x=0 and we apply a fitted finite volume scheme to the equation to resolve the degeneracy and derive the fully discrete problem as we also investigate the discrete maximum principle. Numerical experiments illustrate the efficiency of our difference scheme. (c) 2014 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 31: 822-846, 2015
Language
English
Source (journal)
Numerical methods for partial differential equations. - New York, N.Y.
Publication
New York, N.Y. : 2015
ISSN
0749-159X
Volume/pages
31:3(2015), p. 822-846
ISI
000351777700011
Full text (Publisher's DOI)
Full text (publisher's version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 12.05.2015
Last edited 08.06.2017
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