High-order ADI scheme for option pricing in stochastic volatility models
From MaRDI portal
Publication:2406630
DOI10.1016/j.cam.2016.09.040zbMath1372.91116arXiv1512.02529OpenAlexW2191169687MaRDI QIDQ2406630
Publication date: 5 October 2017
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1512.02529
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)
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PDE-W-methods for parabolic problems with mixed derivatives ⋮ High-order compact finite difference scheme for option pricing in stochastic volatility jump models ⋮ Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models ⋮ LOCALIZED RADIAL BASIS FUNCTIONS FOR NO-ARBITRAGE PRICING OF OPTIONS UNDER STOCHASTIC ALPHA–BETA–RHO DYNAMICS ⋮ Pricing European and American options under Heston model using discontinuous Galerkin finite elements ⋮ Analytical shape functions and derivatives approximation formulas in local radial point interpolation methods with applications to financial option pricing problems ⋮ AMF-type W-methods for Parabolic Problems with Mixed Derivatives ⋮ W-Methods and Approximate Matrix Factorization for Parabolic PDEs with Mixed Derivative Terms
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