Heston model

Stability estimates for Discrete duality finite volume scheme of Heston model Angela Handlovicova Slovak University of Technology, Bratislava Slovakia. DOI: https://doi.org/10.7494/cmms.2017.2.0596 Abstract: Tensor diffusion equation represents an important model in many fields of science. We focused our attention to the problem which arises in financial mathematics and is known as 2D Heston model. Stability estimates for discrete duality finite … Read more