On a Fitted Finite Volume Method for the Valuation of Options on Assets with Stochastic Volatilities
博士 === 國立中山大學 === 應用數學系研究所 === 98 === In this dissertation we first formulate the Black-Scholes equation with a tensor (or matrix) diffusion coefficient into a conservative form and present a convergence analysis for the two-dimensional Black-Scholes equation arising in the Hull-White model for pric...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/59715314278987263190 |