Stability of central finite difference schemes for the Heston PDE

DOI10.1007/s11075-011-9514-1zbMath1245.65118arXiv1011.6532MaRDI QIDQ415346

Karel J. in 't Hout, Kim Volders

Publication date: 8 May 2012

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1011.6532

zbMATH Keywords

stability; numerical experiments; finite difference scheme; mathematical finance; advection-diffusion equation; logarithmic norm; Heston equation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

35K20: Initial-boundary value problems for second-order parabolic equations

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

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

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Cites Work

• Introduction to large truncated Toeplitz matrices
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• Stability of central finite difference schemes on non-uniform grids for the Black-Scholes equation
• Solving Ordinary Differential Equations I
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Numerical Methods for Ordinary Differential Equations
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