Open AccessNumerical Approximations of a Nonlinear Volatility Model with European Options
Author(s) -
Jakobin Alam Khan,
Asir Intesar Tushar
Publication year - 2022
Publication title -
ganit
Language(s) - English
Resource type - Journals
eISSN - 2224-5111
pISSN - 1606-3694
DOI - 10.3329/ganit.v42i1.61000
Subject(s) - crank–nicolson method , black–scholes model , nonlinear system , mathematics , finite element method , valuation of options , finite difference , finite difference method , volatility (finance) , call option , stochastic volatility , mathematical analysis , econometrics , physics , thermodynamics , quantum mechanics