High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids

DOI10.1016/j.cam.2014.04.016zbMath1319.91156arXiv1404.5138OpenAlexW2128387129MaRDI QIDQ2517498

Bertram Düring, Christof Heuer, Michel Fournié

Publication date: 26 August 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.5138

zbMATH Keywords

option pricingpartial differential equationmixed derivativeshigh-order compact finite difference method

Mathematics Subject Classification ID

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) Numerical solutions to stochastic differential and integral equations (65C30) Mesh generation, refinement, and adaptive methods for the numerical solution of initial value and initial-boundary value problems involving PDEs (65M50)

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