An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids

DOI10.3390/a12020030zbMath1461.91358OpenAlexW2899237061WikidataQ128543915 ScholiaQ128543915MaRDI QIDQ2632499

Chong Sun, Qin Sheng

Publication date: 14 May 2019

Published in: Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/a12020030

zbMATH Keywords

stabilityfinite difference approximationsinitial-boundary value problemsorder of convergenceHeston volatility modelup-downwind scheme

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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of difference equations (39A60)

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Cites Work

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