Volume 19, Issue 7 (IJES (Chemical) 2009)                   2009, 19(7): 87-93 | Back to browse issues page

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Zamani S, Zargari B. A FINITE DIFFERENCE SCHEME TO CALCULATE THE OPTION PRICES IN STOCHASTIC VOLATILITY MODELS. Journal title 2009; 19 (7) :87-93
URL: http://ijiepm.iust.ac.ir/article-1-280-en.html
A FINITE DIFFERENCE SCHEME TO CALCULATE THE OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
Sh Zamani , B. Zargari *
Abstract:   (9401 Views)
In stochastic volatility models, European option prices are solutions to parabolic differential equations. In this paper we propose a finite difference scheme for solving these equations numerically. We prove the stability and convergence of this method in norm infinity. Then we use the ADL method to separate the operators, this allows us to apply Thomas algorithm to solve the corresponding linear systems in each step
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Type of Study: Research | Subject: Other related Industrial and production reserach subjects in which has direct relation to the state-of-the art of the IE
Received: 2010/06/29 | Published: 2009/01/15
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