Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids-Reference-Cited by-同舟云学术

Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids

Published:2017 Issue: Volume: Page:313-319
ISSN:1612-3956
Container-title:Novel Methods in Computational Finance
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Author:

Düring Bertram,Heuer Christof

Publisher

Springer International Publishing

Link

http://link.springer.com/content/pdf/10.1007/978-3-319-61282-9_17

Reference6 articles.

1. Christoffersen, P., Jacobs, K., Mimouni, K.: Models for S&P500 dynamics: evidence from realized volatility, daily returns, and option prices. Rev. Financ. Stud. 23(8), 3141–3189 (2010)

2. Düring, B., Fournié, M., Heuer, C.: High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. J. Comput. Appl. Math. 271(18), 247–266 (2014)

3. Düring, B., Heuer, C.: High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions. SIAM J. Numer. Anal. 53(5), 2113–2134 (2015)

4. Gustafsson, B.: The convergence rate for difference approximations to general mixed initial-boundary value problems. SIAM J. Numer. Anal. 18(2), 179–190 (1981)

5. Heuer, C.: High-order compact finite difference schemes for parabolic partial differential equations with mixed derivative terms and applications in computational finance. PhD thesis, University of Sussex (Aug. 2014). http://sro.sussex.ac.uk/49800/

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