Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids

DOI10.1007/978-3-319-61282-9_17zbMath1420.91506arXiv1611.00316OpenAlexW2549041360MaRDI QIDQ4626510

Christof Heuer, 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/1611.00316

zbMATH Keywords

stochastic volatility modelshigh-order compact schemesoption pricing PDE

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)

Cites Work

• High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
• High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions
• The Convergence Rate for Difference Approximations to General Mixed Initial-Boundary Value Problems
• Smoothing of initial data and rates of convergence for parabolic difference equations

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