Blar i HVL Open på forfatter "Nyoumbi, Christelle"
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Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities
Nyoumbi, Christelle; Tambue, Antoine (Peer reviewed; Journal article, 2023)In this article, we provide the rigorous mathematical convergence proof both in space and time of the two dimensional Black Scholes equation with stochastic volatility. The spatial approximation of this three dimensional ...