High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids
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Elsevier BV
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1. High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Jump Models;SSRN Electronic Journal;2017
2. Sparse Grid High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models;SSRN Electronic Journal;2016
3. Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids;SSRN Electronic Journal;2016
4. High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models;SSRN Electronic Journal;2015
5. High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions;SSRN Electronic Journal;2014
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