Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes

DOI10.1080/00207160.2013.777710zbMath1281.91184OpenAlexW2086754590WikidataQ115315114 ScholiaQ115315114MaRDI QIDQ2874319

Tinne Haentjens

Publication date: 29 January 2014

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2013.777710

zbMATH Keywords

finite difference methodsalternating direction implicit schemesfinancial option pricinghedging quantitiesHeston-Cox-Ingersoll-Ross partial differential equation

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) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) Numerical methods for stiff equations (65L04)

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Cites Work

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• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
• Stochastic calculus for finance. II: Continuous-time models.
• A Theory of the Term Structure of Interest Rates
• On the Heston Model with Stochastic Interest Rates
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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