The Parareal Algorithm and the Sparse Grid Combination Technique in the Application of the Heston Model

DOI10.1007/978-3-031-11818-0_62MaRDI QIDQ6048698

Michael Günther, Matthias Ehrhardt, Unnamed Author

Publication date: 15 September 2023

Published in: Mathematics in Industry (Search for Journal in Brave)

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Cites Work

• Unnamed Item
• Operator splitting methods for pricing American options under stochastic volatility
• Unconditional stability of second-order ADI schemes applied to multi-dimensional diffusion equations with mixed derivative terms
• Résolution d'EDP par un schéma en temps «pararéel »
• ADI Schemes for Pricing American Options under the Heston Model
• An ADI Sparse Grid method for Pricing Efficiently American Options under the Heston Model
• Sparse grids
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• ADI finite difference schemes for option pricing in the Heston model with correlation

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