{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,9,7]],"date-time":"2024-09-07T23:06:28Z","timestamp":1725750388704},"publisher-location":"Berlin, Heidelberg","reference-count":9,"publisher":"Springer Berlin Heidelberg","isbn-type":[{"type":"print","value":"9783642415142"},{"type":"electronic","value":"9783642415159"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2013]]},"DOI":"10.1007\/978-3-642-41515-9_21","type":"book-chapter","created":{"date-parts":[[2013,10,1]],"date-time":"2013-10-01T06:08:27Z","timestamp":1380607707000},"page":"206-213","source":"Crossref","is-referenced-by-count":0,"title":["A Positivity-Preserving Splitting Method for 2D Black-Scholes Equations in Stochastic Volatility Models"],"prefix":"10.1007","author":[{"given":"Tatiana P.","family":"Chernogorova","sequence":"first","affiliation":[]},{"given":"Radoslav L.","family":"Valkov","sequence":"additional","affiliation":[]}],"member":"297","reference":[{"key":"21_CR1","doi-asserted-by":"publisher","first-page":"2659","DOI":"10.1016\/j.mcm.2011.06.049","volume":"54","author":"T. Chernogorova","year":"2011","unstructured":"Chernogorova, T., Valkov, R.: Finite volume difference scheme for a degenerate parabolic equation in the zero-coupon bond pricing. Math. and Comp. Modeling\u00a054, 2659\u20132671 (2011)","journal-title":"Math. and Comp. Modeling"},{"key":"21_CR2","first-page":"33","volume-title":"Applications of Advanced Computational Methods for Boundary and Interior Layers","author":"C. Clavero","year":"1993","unstructured":"Clavero, C., Jorge, J.C., Lisbona, F.: Uniformly convergent schemes for singular perturbation problems combining alternating directions and exponential fitting techniques. In: Miller, J.J.H. (ed.) Applications of Advanced Computational Methods for Boundary and Interior Layers, pp. 33\u201352. Boole Press, Dublin (1993)"},{"key":"21_CR3","first-page":"549","volume":"2","author":"E.G. D\u2019Yakonov","year":"1962","unstructured":"D\u2019Yakonov, E.G.: Difference schemes with splitting operator for multidimensional non-stationary problem. Zh. Vychisl. Mat. i Mat. Fiz.\u00a02, 549\u2013568 (1962)","journal-title":"Zh. Vychisl. Mat. i Mat. Fiz."},{"key":"21_CR4","first-page":"303","volume":"7","author":"K.J. int\u2019 Hout","year":"2010","unstructured":"int\u2019 Hout, K.J., Foulon, S.: ADI finite difference schemes for option pricing in the Heston model with correlation. Int. J. Numer. Anal. Mod.\u00a07, 303\u2013320 (2010)","journal-title":"Int. J. Numer. Anal. Mod."},{"key":"21_CR5","doi-asserted-by":"publisher","first-page":"297","DOI":"10.1007\/s00607-006-0164-4","volume":"77","author":"C.-S. Huang","year":"2006","unstructured":"Huang, C.-S., Hung, C.-H., Wang, S.: A fitted finite volume method for the valuation of options on assets with stochastic volatilities. Computing\u00a077, 297\u2013320 (2006)","journal-title":"Computing"},{"key":"21_CR6","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-662-09017-6","volume-title":"Numerical Solution of Time-Dependent Advection-Diffusion-Reaction Equations","author":"W. Hundsdorfer","year":"2003","unstructured":"Hundsdorfer, W., Verwer, J.: Numerical Solution of Time-Dependent Advection-Diffusion-Reaction Equations. Springer, Heidelberg (2003)"},{"key":"21_CR7","doi-asserted-by":"publisher","first-page":"281","DOI":"10.1111\/j.1540-6261.1987.tb02568.x","volume":"42","author":"J. Hull","year":"1987","unstructured":"Hull, J., White, A.: The pricing of options on assets with stochastic volatilities. J. Financ.\u00a042, 281\u2013300 (1987)","journal-title":"J. Financ."},{"key":"21_CR8","doi-asserted-by":"publisher","first-page":"699","DOI":"10.1093\/imanum\/24.4.699","volume":"24","author":"S. Wang","year":"2004","unstructured":"Wang, S.: A novel fitted finite volume method for Black-Sholes equation governing option pricing. IMA J. of Numer. Anal.\u00a024, 699\u2013720 (2004)","journal-title":"IMA J. of Numer. Anal."},{"key":"21_CR9","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-65108-3","volume-title":"The Method of Fractional Steps","author":"N.N. Yanenko","year":"1971","unstructured":"Yanenko, N.N.: The Method of Fractional Steps. Springer, Berlin (1971)"}],"container-title":["Lecture Notes in Computer Science","Numerical Analysis and Its Applications"],"original-title":[],"link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/978-3-642-41515-9_21","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,17]],"date-time":"2019-05-17T17:52:06Z","timestamp":1558115526000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/978-3-642-41515-9_21"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2013]]},"ISBN":["9783642415142","9783642415159"],"references-count":9,"URL":"https:\/\/doi.org\/10.1007\/978-3-642-41515-9_21","relation":{},"ISSN":["0302-9743","1611-3349"],"issn-type":[{"type":"print","value":"0302-9743"},{"type":"electronic","value":"1611-3349"}],"subject":[],"published":{"date-parts":[[2013]]}}}