Browsing Høgskulen på Vestlandet by Journals "Mathematics and Computers in Simulation"
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Convergence of a fitted finite volume method for pricing two dimensional assets with stochastic volatilities
(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 ...