Stability of central finite difference schemes for the Heston PDE (Q415346)
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| Language | Label | Description | Also known as |
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| English | Stability of central finite difference schemes for the Heston PDE |
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Stability of central finite difference schemes for the Heston PDE (English)
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8 May 2012
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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.
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Heston equation
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finite difference scheme
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logarithmic norm
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stability
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advection-diffusion equation
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mathematical finance
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numerical experiments
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