Open AccessConvergence analysis of the discrete duality finite volume scheme for the regularised Heston model
Author(s) -
Matúš Tibenský,
Angela Handlovičová
Publication year - 2021
Publication title -
discrete and continuous dynamical systems. series s
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.481
H-Index - 34
eISSN - 1937-1632
pISSN - 1937-1179
DOI - 10.3934/dcdss.2020226
Subject(s) - mathematics , heston model , convergence (economics) , duality (order theory) , scheme (mathematics) , type (biology) , stability (learning theory) , mathematical analysis , pure mathematics , computer science , stochastic volatility , econometrics , sabr volatility model , economics , biology , economic growth , volatility (finance) , ecology , machine learning