Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models
DOI10.1007/978-3-319-61282-9_16zbMath1420.91505arXiv1611.01379OpenAlexW2550453142MaRDI QIDQ4626509
James Miles, Christian Hendricks, Bertram Düring
Publication date: 28 February 2019
Published in: Novel Methods in Computational Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1611.01379
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)
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