A note on the numerical resolution of Heston PDEs
DOI10.1007/S11587-020-00499-4zbMATH Open1466.65060OpenAlexW3011387820WikidataQ114222176 ScholiaQ114222176MaRDI QIDQ829233FDOQ829233
Authors: Salvatore Cuomo, Vittorio Di Somma, Federica Sica 
Publication date: 5 May 2021
Published in: Ricerche di Matematica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11587-020-00499-4
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Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical interpolation (65D05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Numerical radial basis function approximation (65D12)
Cites Work
- The pricing of options and corporate liabilities
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
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- Meshfree approximation methods with Matlab. With CD-ROM.
- Multiquadrics -- a scattered data approximation scheme with applications to computational fluid-dynamics. II: Solutions to parabolic, hyperbolic and elliptic partial differential equations
- Alternating direction methods for three space variables
- Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
- A stable meshfree PDE solver for source-type flows in porous media
Cited In (20)
- On pricing options under two stochastic volatility processes
- On Singularities in the Heston Model
- Pricing the financial Heston-Hull-White model with arbitrary correlation factors via an adaptive FDM
- Efficient and stable numerical solution of the Heston-Cox-Ingersoll-Ross partial differential equation by alternating direction implicit finite difference schemes
- Stability of central finite difference schemes for the Heston PDE
- A robust spectral method for solving Heston's model
- A comparative study on time-efficient methods to price compound options in the Heston model
- An exploration of a balanced up-downwind scheme for solving Heston volatility model equations on variable grids
- AMFR-W-methods for parabolic problems with mixed derivates. Applications to the Heston model
- RBF methods in a stochastic volatility framework for Greeks computation
- Diamond-cell finite volume scheme for the Heston model
- Analysis of an affine version of the Heston-Hull-White option pricing partial differential equation
- Solution behavior of Heston model using impression matrix norm
- On pricing European options under HCIR model: a comparative study
- Finite difference and element methods for pricing options with stochastic volatility
- Removing the correlation term in option pricing Heston model: numerical analysis and computing
- Parallel algorithms for financial derivatives evaluation in generalized Heston model
- On multilevel RBF collocation to solve nonlinear PDEs arising from endogenous stochastic volatility models
- A multiquadric RBF-FD scheme for simulating the financial HHW equation utilizing exponential integrator
- An iterative splitting method for pricing European options under the Heston model
Uses Software
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