Stability of central finite difference schemes for the Heston PDE

TitleStability of central finite difference schemes for the Heston PDE
Publication TypeJournal Article
Year of Publication2012
Authorsin't Hout KJ, Volders K
JournalNumerical Algorithms
Volume60
Pagination115-133
URLhttp://www.springerlink.com/content/4p47h0351nq76775/?MUD=MP
DOI10.1007/s11075-011-9514-1