ADI finite difference schemes for option pricing in the Heston model with correlation

zbMath1499.65276arXiv0811.3427MaRDI QIDQ5862255

Publication date: 7 March 2022

Full work available at URL: https://arxiv.org/abs/0811.3427

option pricing finite difference methods initial-boundary value problems convection-diffusion equations Heston model method-of-lines mixed derivatives ADI splitting schemes

Mathematics Subject Classification ID

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) Stability and convergence of numerical methods for ordinary differential equations (65L20) Numerical methods for initial value problems involving ordinary differential equations (65L05) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)

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