Browsing Research Articles (Mathematics) by Author "Ngounda, E."
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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. ...