Finite-Volume Difference Scheme for the Black-Scholes Equation in Stochastic Volatility Models

摘要

We study numerically the two-dimensional Black-Scholes equation in stochastic volatility models [3]. For these models, starting from the conservative form of the equation, we construct a finite-volume difference scheme using the appropriate boundary conditions. The scheme is first order accurate in the space grid size. We also present some results from numerical experiments that confirm this.