On convergence of a fitted finite-volume method for the valuation of options on assets with stochastic volatilities

C.S. Huang, C.H. Hung, Song Wang

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	1101-1120
Journal	IMA Journal of Numerical Analysis
Volume	30
DOIs	https://doi.org/10.1093/imanum/drp016
Publication status	Published - 2010

Access to Document

@article{e32dec80f7524684a0ec7471ad27a69c,

title = "On convergence of a fitted finite-volume method for the valuation of options on assets with stochastic volatilities",

author = "C.S. Huang and C.H. Hung and Song Wang",

year = "2010",

doi = "10.1093/imanum/drp016",

language = "English",

volume = "30",

pages = "1101--1120",

journal = "IMA Journal of Numerical Analysis",

issn = "0272-4979",

publisher = "Oxford University Press",

}

TY - JOUR

T1 - On convergence of a fitted finite-volume method for the valuation of options on assets with stochastic volatilities

AU - Huang, C.S.

AU - Hung, C.H.

AU - Wang, Song

PY - 2010

Y1 - 2010

U2 - 10.1093/imanum/drp016

DO - 10.1093/imanum/drp016

M3 - Article

SN - 0272-4979

VL - 30

SP - 1101

EP - 1120

JO - IMA Journal of Numerical Analysis

JF - IMA Journal of Numerical Analysis

ER -