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A characteristics–finite differences method for the Hobson–Rogers uncertain volatility model

Authors
Journal
Mathematical and Computer Modelling
0895-7177
Publisher
Elsevier
Publication Date
Volume
52
Identifiers
DOI: 10.1016/j.mcm.2010.02.023
Keywords
  • Options Pricing
  • Hobson–Rogers Model
  • Kolmogorov Pde
  • Numerical Methods
  • Characteristics Scheme
  • Finite Differences
Disciplines
  • Computer Science

Abstract

Abstract In this paper we mainly propose an alternative characteristics–finite differences scheme discretization method for solving a Hobson–Rogers PDE model to price European and American options. As illustrated by the numerical examples, the computational cost is reduced with respect to existing Kolmogorov finite differences schemes, for which some improvements are also proposed.

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