High-order compact finite difference scheme for option pricing in stochastic volatility models (Q442737): Difference between revisions

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+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
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+M06
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@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
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+6063178
@@ Property / zbMATH DE Number: 6063178 / rank @@
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@@ Property / zbMATH Keywords @@
+option pricing
@@ Property / zbMATH Keywords: option pricing / rank @@
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@@ Property / zbMATH Keywords @@
+compact finite difference discretisations
@@ Property / zbMATH Keywords: compact finite difference discretisations / rank @@
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@@ Property / zbMATH Keywords @@
+mixed derivatives
@@ Property / zbMATH Keywords: mixed derivatives / rank @@
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@@ Property / zbMATH Keywords @@
+high-order scheme
@@ Property / zbMATH Keywords: high-order scheme / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Asset pricing under information with stochastic volatility
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+Time Dependent Heston Model
@@ Property / cites work: Time Dependent Heston Model / rank @@
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@@ Property / cites work @@
+Numerical pricing of options using high-order compact finite difference schemes
+Normal rank
@@ Property / cites work @@
+Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
+Normal rank
@@ Property / cites work @@
+High Order Compact Finite Difference Schemes for a Nonlinear  Black-Scholes Equation
+Normal rank
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+High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
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+Penalty methods for American options with stochastic volatility
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+Multigrid for American option pricing with stochastic volatility
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+A spectral element approximation to price European options with one asset and stochastic volatility
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+Efficient numerical methods for pricing American options under stochastic volatility
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+ADI finite difference schemes for option pricing in the Heston model with correlation
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+Far Field Boundary Conditions for Black--Scholes Equations
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+The Convergence Rate for Difference Approximations to General Mixed Initial-Boundary Value Problems
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+Extension of high-order compact schemes to time-dependent problems
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+Q4663944
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+High Order Compact Schemes in Projection Methods for Incompressible Viscous Flows
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+On stability of numerical schemes via frozen coefficients and the magnetic induction equations
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+Symmetrizable Finite Difference Operators
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+An Extension of the Kreiss Matrix Theorem
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+Q5536978
@@ Property / cites work: Q5536978 / rank @@
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+Stability of parabolic difference schemes in the maximum norm
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+On the Stability of a Compact Finite Difference Scheme for Option Pricing
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+Finite element solution of diffusion problems with irregular data
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+High order conservative difference methods for 2D drift-diffusion model on non-uniform grid
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+Publication:442737