Valuation of European call options for the Scott's stochastic volatility model: An explicit finite difference scheme.

Wed, 01 Jan 2025 00:00:00 +0100

Freddy H. Marín-Sánchez , Alejandro Pinilla Barrera , Cristhian Montoya Zambrano , Santiago Medina Hurtado :
Valuation of European call options for the Scott's stochastic volatility model: An explicit finite difference scheme. Math. Comput. Simul. 236: 411-425 (2025)