On the stability of a compact finite difference scheme for option pricing

DOI10.1007/978-3-642-25100-9_25MaRDI QIDQ2905430zbMATH OpenOpenAlexFDO

Authors Bertram Düring, Michel Fournié

Publication date 27 August 2012

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

Full work available at URL https://doi.org/10.1007/978-3-642-25100-9_25

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A spectral element approximation to price European options with one asset and stochastic volatility
• ADI finite difference schemes for option pricing in the Heston model with correlation
• An efficient method for finding the minimum of a function of several variables without calculating derivatives
• Asset pricing under information with stochastic volatility
• Convergence of a high-order compact finite difference scheme for a nonlinear Black–Scholes equation
• Efficient numerical methods for pricing American options under stochastic volatility
• High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation
• High-order compact finite difference scheme for option pricing in stochastic volatility models
• High-order compact scheme for solving nonlinear Black–Scholes equation with transaction cost
• scientific article; zbMATH DE number 3388498 (Why is no real title available?)
• Multigrid for American option pricing with stochastic volatility
• Penalty methods for American options with stochastic volatility

Cited in

(8)

• Compact finite difference method for American option pricing
• High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
• High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions
• Positive finite difference schemes for a partial integro-differential option pricing model
• Stability of central finite difference schemes for the Heston PDE
• High-order compact finite difference scheme for option pricing in stochastic volatility models
• Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models
• On the acceleration of explicit finite difference methods for option pricing

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