A note on the numerical resolution of Heston PDEs

DOI10.1007/S11587-020-00499-4zbMath1466.65060OpenAlexW3011387820WikidataQ114222176 ScholiaQ114222176MaRDI QIDQ829233

Federica Sica, Salvatore Cuomo, Vittorio Di Somma

Publication date: 5 May 2021

Published in: Ricerche di Matematica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11587-020-00499-4

zbMATH Keywords

radial basis functionsADIHeston model

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) Numerical interpolation (65D05) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Numerical radial basis function approximation (65D12)

Related Items (1)

RBF methods in a stochastic volatility framework for Greeks computation

Uses Software

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Cites Work

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• The Pricing of Options and Corporate Liabilities
• Alternating direction methods for three space variables
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• Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
• A stable meshfree PDE solver for source-type flows in porous media
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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