Stability of central finite difference schemes for the Heston PDE

DOI10.1007/s11075-011-9514-1zbMath1245.65118arXiv1011.6532OpenAlexW2092640538MaRDI QIDQ415346

Karel J. in 't Hout, Kim Volders

Publication date: 8 May 2012

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.6532

zbMATH Keywords

stabilitynumerical experimentsfinite difference schememathematical financeadvection-diffusion equationlogarithmic normHeston equation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) 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)

Related Items (3)

Using generating functions to convert an implicit \((3,3)\) finite difference method to an explicit form on diffusion equation with different boundary conditions ⋮ A high-order finite difference method for option valuation ⋮ ADI Schemes for Pricing American Options under the Heston Model

Cites Work

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• Introduction to large truncated Toeplitz matrices
• Stochastic calculus for finance. II: Continuous-time models.
• Stability of central finite difference schemes on non-uniform grids for the Black-Scholes equation
• Solving Ordinary Differential Equations I
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Numerical Methods for Ordinary Differential Equations

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