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Finite-Volume Difference Scheme for the Black-Scholes Equation in Stochastic Volatility Models

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Numerical Methods and Applications (NMA 2010)

Part of the book series: Lecture Notes in Computer Science ((LNTCS,volume 6046))

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Abstract

We study numerically the two-dimensional Black-Scholes equation in stochastic volatility models [3]. For these models, starting from the conservative form of the equation, we construct a finite-volume difference scheme using the appropriate boundary conditions. The scheme is first order accurate in the space grid size. We also present some results from numerical experiments that confirm this.

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References

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Author information

Authors and Affiliations

  1. Faculty of Mathematics and Informatics, Sofia University, Bulgaria

    Tatiana Chernogorova & Radoslav Valkov

Authors
  1. Tatiana Chernogorova
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  2. Radoslav Valkov
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Editor information

Editors and Affiliations

  1. Institute of Computer and Communication Technologies, Bulgarian Academy of Sciences, Acad. G. Bonchev 25 A, 1113, Sofia, Bulgaria

    Ivan Dimov

  2. Faculty of Mathematics and Informatics, Department Numerical Methods and Algorithms, University of Sofia "St. Kliment Ohridski",, blvd. James Bourchier 5, 1164, Sofia, Bulgaria

    Stefka Dimova

  3. Institute of Mathematics and Informatics, Bulgarian Academy of Sciences, Acad. Bonchev St.,Bl.8, 1113, Sofia, Bulgaria

    Natalia Kolkovska

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© 2011 Springer-Verlag Berlin Heidelberg

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Chernogorova, T., Valkov, R. (2011). Finite-Volume Difference Scheme for the Black-Scholes Equation in Stochastic Volatility Models. In: Dimov, I., Dimova, S., Kolkovska, N. (eds) Numerical Methods and Applications. NMA 2010. Lecture Notes in Computer Science, vol 6046. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-18466-6_45

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  • DOI: https://doi.org/10.1007/978-3-642-18466-6_45

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-18465-9

  • Online ISBN: 978-3-642-18466-6

  • eBook Packages: Computer ScienceComputer Science (R0)

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