High-order compact finite difference scheme for option pricing in stochastic volatility models

DOI10.1016/j.cam.2012.04.017zbMath1244.91100arXiv1404.5140OpenAlexW2109252891MaRDI QIDQ442737

Michel Fournié, Bertram Düring

Publication date: 3 August 2012

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.5140

zbMATH Keywords

option pricinghigh-order schemecompact finite difference discretisationsmixed derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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)

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