Stability of central finite difference schemes for the Heston PDE (Q415346)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stability of central finite difference schemes for the Heston PDE |
scientific article |
Statements
Stability of central finite difference schemes for the Heston PDE (English)
0 references
8 May 2012
0 references
The authors establish some rigorous stability bounds for the central second-order finite difference discretization of the Heston equation arising in mathematical finance. The method employed by the authors makes use of logarithmic spectral norm. The advection and diffusion part in the Heston equation are analyzed separately and the approach is valid for arbitrary Heston parameters. Various numerical experiments are presented to support the theoretical findings.
0 references
Heston equation
0 references
finite difference scheme
0 references
logarithmic norm
0 references
stability
0 references
advection-diffusion equation
0 references
mathematical finance
0 references
numerical experiments
0 references
