  Isogeometric analysis is a recently developed computational approach that
integrates finite element analysis directly into design described by
non-uniform rational B-splines (NURBS). In this paper we show that price
surfaces that occur in option pricing can be easily described by NURBS
surfaces. For a class of stochastic volatility models, we develop a methodology
for solving corresponding pricing partial integro-differential equations
numerically by isogeometric analysis tools and show that a very small number of
space discretization steps can be used to obtain sufficiently accurate results.
Presented solution by finite element method is especially useful for
practitioners dealing with derivatives where closed-form solution is not
available.
