Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models

Bertram D\"uring and Christof Heuer
Authors registered in the RePEc Author Service: Bertram Düring

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Abstract: We propose a time-adaptive, high-order compact finite difference scheme for option pricing in a family of stochastic volatility models. We employ a semi-discrete high-order compact finite difference method for the spatial discretisation, and combine this with an adaptive time discretisation, extending ideas from [LSRHF02] to fourth-order multistep methods in time.

Date: 2021-07
New Economics Papers: this item is included in nep-ore
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Published in In: Progress in Industrial Mathematics at ECMI 2021, M. Ehrhardt and M. G\"unther (eds.), pp. 373-380, Mathematics in Industry 39, Springer, Berlin, Heidelberg, 2022

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2107.09094

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