Sparse grid high-order ADI scheme for option pricing in stochastic volatility models

Bertram D\"uring, Christian Hendricks and James Miles
Authors registered in the RePEc Author Service: Bertram Düring

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Abstract: We present a sparse grid high-order alternating direction implicit (ADI) scheme for option pricing in stochastic volatility models. The scheme is second-order in time and fourth-order in space. Numerical experiments confirm the computational efficiency gains achieved by the sparse grid combination technique.

Date: 2016-11
New Economics Papers: this item is included in nep-cmp
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