On the Stability of a Compact Finite Difference Scheme for Option Pricing
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Publisher
Springer Berlin Heidelberg
Link
http://link.springer.com/content/pdf/10.1007/978-3-642-25100-9_25.pdf
Reference16 articles.
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2. Clarke, N., Parrott, K.: Multigrid for American option pricing with stochastic volatility. Appl. Math. Finance 6(3), 177–195 (1999)
3. Düring, B., Fournié, M.: High-order compact finite difference scheme for option pricing in stochastic volatility models, preprint, 2010. Available at SSRN: http://ssrn.com/ abstract = 1646885
4. Düring, B., Fournié, M.: Compact finite difference scheme for option pricing in Heston’s model. In: AIP Conference Proceedings 1281, Numerical Analysis and Applied Mathematics, Simos, T.E. et al. (eds.), pp. 219–222, American Institute of Physics, Melville, NY (2010)
5. Düring, B.: Asset pricing under information with stochastic volatility. Rev. Deriv. Res. 12(2), 141–167 (2009)
Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions;SSRN Electronic Journal;2014
2. High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids;SSRN Electronic Journal;2013
3. High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Models;SSRN Electronic Journal;2010
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