5 citations · 5 across the 2 of their papers we have counts for
2 papers
math.NA2012
Stability and convergence analysis of discretizations of the Black-Scholes PDE with the linear boundary condition
Karel in 't Hout, Kim Volders
In this paper we consider the stability and convergence of numerical discretizations of the Black-Scholes partial differential equation (PDE) when complemented with the popular lin…
q-fin.CP2010★ 5 cited
Stability of central finite difference schemes for the Heston PDE
K. J. in 't Hout, K. Volders
This paper deals with stability in the numerical solution of the prominent Heston partial differential equation from mathematical finance. We study the well-known central second-or…