Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes

DOI10.1080/00207160.2013.777710zbMath1281.91184WikidataQ115315114 ScholiaQ115315114MaRDI QIDQ2874319

Tinne Haentjens

Publication date: 29 January 2014

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2013.777710

zbMATH Keywords

finite difference methods; alternating direction implicit schemes; financial option pricing; hedging quantities; Heston-Cox-Ingersoll-Ross partial differential equation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

35R60: PDEs with randomness, stochastic partial differential equations

65M20: Method of lines for initial value and initial-boundary value problems involving PDEs

65L04: Numerical methods for stiff equations

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