Search
Now showing items 1-2 of 2
A robust spectral method for solving Heston’s model
(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. ...
Performance of Richardson extrapolation on some numerical methods for a singularly perturbed turning point problem whose solution has boundary layers
(KOREAN MATHEMATICAL SOC, 2014)
Investigation of the numerical solution of singularly perturbed turning point problems dates back to late 1970s. However, due to the presence of layers, not many high order schemes could be developed to solve such problems. ...