Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model

Fabien Le Floc'h

Papers from arXiv.org

Abstract: This note explores in more details instabilities of explicit super-time-stepping schemes, such as the Runge-Kutta-Chebyshev or Runge-Kutta-Legendre schemes, noticed in the litterature, when applied to the Heston stochastic volatility model. The stability remarks are relevant beyond the scope of super-time-stepping schemes.

Date: 2023-09
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