An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids
DOI10.3390/A12020030zbMATH Open1461.91358OpenAlexW2899237061WikidataQ128543915 ScholiaQ128543915MaRDI QIDQ2632499FDOQ2632499
Publication date: 14 May 2019
Published in: Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3390/a12020030
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stabilityorder of convergenceinitial-boundary value problemsfinite difference approximationsHeston volatility modelup-downwind scheme
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Applications of difference equations (39A60) 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)
Cites Work
- The pricing of options and corporate liabilities
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- Classroom Note:Calculation of Weights in Finite Difference Formulas
- High-order compact finite difference scheme for option pricing in stochastic volatility models
- Efficient numerical methods for pricing American options under stochastic volatility
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- The Heston model and its extensions in Matlab and C\#. With a foreword by Steven L. Heston
- On Asian option pricing for NIG Lévy processes
- Preconditioned iterative methods for fractional diffusion models in finance
- Stability of ADI schemes applied to convection--diffusion equations with mixed derivative terms
- High-order ADI schemes for diffusion equations with mixed derivatives in the combination technique
- Full and fast calibration of the Heston stochastic volatility model
- Numerical solution of degenerate stochastic Kawarada equations via a semi-discretized approach
- An unconditionally monotone numerical scheme for the two-factor uncertain volatility model
Cited In (6)
- A note on the numerical resolution of Heston PDEs
- Stability of central finite difference schemes for the Heston PDE
- A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility
- A note on stochastic polynomial chaos expansions for uncertain volatility and Asian option pricing
- Diamond-cell finite volume scheme for the Heston model
- Removing the correlation term in option pricing Heston model: numerical analysis and computing
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