On Multistep Stabilizing Correction Splitting Methods with Applications to the Heston Model

DOI10.1137/17M1146026zbMath1446.65057arXiv1709.00622OpenAlexW2963790561MaRDI QIDQ5745130

Karel J. in 't Hout, Willem H. Hundsdorfer

Publication date: 5 June 2018

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.00622

zbMATH Keywords

stabilityconvergencesplitting methodsmultistep methodsHeston model

Mathematics Subject Classification ID

Stability and convergence of numerical methods for ordinary differential equations (65L20) Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations (65L60)

Related Items

A new operator splitting method for American options under fractional Black-Scholes models, Operator splitting schemes for the two-asset Merton jump-diffusion model, Convergence in the maximum norm of ADI-type methods for parabolic problems, Operator splitting schemes for American options under the two-asset Merton jump-diffusion model, ADI schemes for valuing European options under the Bates model, Convergence in $\ell_2$ and $\ell_\infty$ Norm of One-Stage AMF-W-Methods for Parabolic Problems, Stability and error analysis of operator splitting methods for American options under the Black-Scholes model

Uses Software

• RODAS

Cites Work

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