A Multidimensional Fitted Finite Volume Method for the Black-Scholes Equation Governing Option Pricing
碩士 === 國立中山大學 === 應用數學系研究所 === 92 === In this paper we present a finite volume method for a two-dimensional Black-Scholes equation with stochastic volatility governing European option pricing. In this work, we first formulate the Black-Scholes equation with a tensor (or matrix) diffusion coefficient...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2004
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| Online Access: | http://ndltd.ncl.edu.tw/handle/34468120105026895506 |