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Analele ştiinţifice ale Universităţii "Ovidius" Constanţa. Seria Matematică
Volume 27 (2019): Issue 3 (December 2019)
Open Access
On an improved computational solution for the 3D HCIR PDE in finance
Fazlollah Soleymani
Fazlollah Soleymani
,
Ali Akgül
Ali Akgül
and
Esra Karatas Akgül
Esra Karatas Akgül
| Dec 21, 2019
Analele ştiinţifice ale Universităţii "Ovidius" Constanţa. Seria Matematică
Volume 27 (2019): Issue 3 (December 2019)
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Published Online:
Dec 21, 2019
Page range:
207 - 230
Received:
Oct 23, 2018
Accepted:
Jan 31, 2019
DOI:
https://doi.org/10.2478/auom-2019-0042
Keywords
Financial option pricing
,
stochastic interest rate
,
Heston model
,
non– uniform finite difference method
,
quadratically convergent
© 2019 Fazlollah Soleymani et al., published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.
Fazlollah Soleymani
Department of Mathematics, Institute for Advanced Studies in Basic Sciences (IASBS),
Zanjan
Ali Akgül
Department of Mathematics, Art and Science Faculty, Siirt University
Siirt, Turkey
Esra Karatas Akgül
Department of Mathematics, Faculty of Education, Siirt University
Siirt, Turkey