numerical analysis for european options under a new stochastic volatility model with a stochastic long-term mean

The paper analyzes the european call option prices under stochastic long-term mean in the heston model numerically. first, discretization is performed using θ method. the proposed discrete equation reduces in three dimensions to one dimension by using the von neumann method along with the fourier transform. the consistency and stability of the method have been stablished, and subsequently conver_x0002_gence is concluded by the lax theorem. at final, numerical results are performed by the well-known crank nicolson by setting the θ = 1 2 .