Browsing Mathematics by Subject "Heston’s volatility model"

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    • A robust spectral method for solving Heston’s model 

      Ngounda, E.; Patidar, Kailash C.; Pindza, E. (Springer Verlag, 2014)
      In this paper, we consider the Heston’s volatility model (Heston in Rev. Financ. Stud. 6: 327–343, 1993]. We simulate this model using a combination of the spectral collocation method and the Laplace transforms method. ...