High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids
نویسندگان
چکیده
منابع مشابه
High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and secondorder accurate in time for vanishing correlation. In our numerical study we obtain highorder numerical convergence also for non-zero correlation and non-smooth payoffs which are typical in option pricing. In all ...
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We derive a new compact high-order finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth order accurate in space and second order accurate in time. To prove results on the unconditional stability in the sense of von Neumann we perform a thorough Fourier analysis of the problem and deduce convergence of our scheme. We present results of numerical exper...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2295581