Time-Adaptive High-Order Compact Finite Difference Schemes for Option Pricing in a Family of Stochastic Volatility Models
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Publication:6048675
DOI10.1007/978-3-031-11818-0_49arXiv2107.09094OpenAlexW3185504822MaRDI QIDQ6048675
Bertram Düring, Christof Heuer
Publication date: 15 September 2023
Published in: Mathematics in Industry (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2107.09094
Cites Work
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- High-order compact finite difference scheme for option pricing in stochastic volatility models
- Implicit solution of hyerbolic equations with space-time adaptivity
- High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions
- THE GARCH OPTION PRICING MODEL
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Smoothing of initial data and rates of convergence for parabolic difference equations
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