Journal of Computational Finance

Risk.net

Hopscotch methods for two-state financial models

Adam Kurpiel, Thierry Roncalli

ABSTRACT

In this paper, the authors consider hopscotch methods for solving two-state financial models. First a solution is derived for two-dimensional partial differential equations with mixed boundary conditions. Then a number of financial applications are considered, including stochastic volatility option pricing, term structure modeling with two states, and elliptic irreversible investment problems.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here