Time-Adaptive High-Order Compact Finite Difference Schemes for Option Pricing in a Family of Stochastic Volatility Models
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Publisher
Springer International Publishing
Link
https://link.springer.com/content/pdf/10.1007/978-3-031-11818-0_49
Reference9 articles.
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3. B. Düring and C. Heuer, High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions, SIAM J. Numer. Anal., 53(5):2113–2134, 2015.
4. J. Duan, The GARCH option pricing model, Math. Finance, 5(1):13–32, 1995.
5. S.L. Heston, A closed-form solution for options with stochastic volatility with applications to bond and currency options, Rev. Fin. Studies, 6(2):327–343, 1993.
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