Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2021
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| _version_ | 1866910378702667776 |
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| author | Düring, Bertram Heuer, Christof |
| author_facet | Düring, Bertram Heuer, Christof |
| contents | We propose a time-adaptive, high-order compact finite difference scheme for option pricing in a family of stochastic volatility models. We employ a semi-discrete high-order compact finite difference method for the spatial discretisation, and combine this with an adaptive time discretisation, extending ideas from [LSRHF02] to fourth-order multistep methods in time. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2107_09094 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models Düring, Bertram Heuer, Christof Computational Finance Numerical Analysis 65M06, 65M50, 91G60 We propose a time-adaptive, high-order compact finite difference scheme for option pricing in a family of stochastic volatility models. We employ a semi-discrete high-order compact finite difference method for the spatial discretisation, and combine this with an adaptive time discretisation, extending ideas from [LSRHF02] to fourth-order multistep methods in time. |
| title | Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models |
| topic | Computational Finance Numerical Analysis 65M06, 65M50, 91G60 |
| url | https://arxiv.org/abs/2107.09094 |