High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2014.04.016 ◽

2014 ◽

Vol 271 ◽

pp. 247-266 ◽

Author(s):

Bertram Düring ◽

Michel Fournié ◽

Christof Heuer

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Stochastic Volatility ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Stochastic Volatility Models ◽

Compact Finite Difference ◽

Volatility Models ◽

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High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids

SSRN Electronic Journal ◽

10.2139/ssrn.2295581 ◽

2013 ◽

Author(s):

Bertram Düring ◽

Michel Fournie ◽

Christof Heuer

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Stochastic Volatility ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Stochastic Volatility Models ◽

Compact Finite Difference ◽

Volatility Models ◽

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

SSRN Electronic Journal ◽

10.2139/ssrn.3890159 ◽

2021 ◽

Author(s):

Bertram Düring ◽

Christof Heuer

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Stochastic Volatility ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Stochastic Volatility Models ◽

Compact Finite Difference ◽

Volatility Models ◽

Compact Finite Difference Schemes

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High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1646885 ◽

2010 ◽

Author(s):

Bertram Düring ◽

Michel Fournie

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

Stochastic Volatility Models ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Volatility Models

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High-order compact finite difference scheme for option pricing in stochastic volatility models

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2012.04.017 ◽

2012 ◽

Vol 236 (17) ◽

pp. 4462-4473 ◽

Author(s):

Bertram Düring ◽

Michel Fournié

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

Stochastic Volatility Models ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Volatility Models

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Very high-order compact finite difference schemes on non-uniform grids for incompressible Navier–Stokes equations

Journal of Computational Physics ◽

10.1016/j.jcp.2006.11.007 ◽

2007 ◽

Vol 224 (2) ◽

pp. 1064-1094 ◽

Author(s):

Ratnesh K. Shukla ◽

Mahidhar Tatineni ◽

Xiaolin Zhong

Keyword(s):

Finite Difference ◽

Stokes Equations ◽

Difference Schemes ◽

Navier Stokes ◽

Finite Difference Schemes ◽

Navier Stokes Equations ◽

Compact Finite Difference ◽

Uniform Grids ◽

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High-order ADI scheme for option pricing in stochastic volatility models

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2016.09.040 ◽

2017 ◽

Vol 316 ◽

pp. 109-121 ◽

Author(s):

Bertram Düring ◽

James Miles

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Stochastic Volatility Models ◽

Volatility Models ◽

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High order compact finite difference schemes on nonuniform grids

Applied Numerical Mathematics ◽

10.1016/j.apnum.2018.06.003 ◽

2018 ◽

Vol 132 ◽

pp. 205-218 ◽

Author(s):

R. Čiegis ◽

O. Suboč

Keyword(s):

Finite Difference ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Nonuniform Grids ◽

Compact Finite Difference ◽

Compact Finite Difference Schemes

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Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids

SSRN Electronic Journal ◽

10.2139/ssrn.2862607 ◽

2016 ◽

Author(s):

Bertram DDring ◽

Christof Heuer

Keyword(s):

Stochastic Volatility ◽

Compact Schemes ◽

Stochastic Volatility Models ◽

Volatility Models ◽

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High-Order Compact Finite Difference Scheme for Option Pricing in Stochastic Volatility Jump Models

SSRN Electronic Journal ◽

10.2139/ssrn.2954523 ◽

2017 ◽

Author(s):

Bertram DDring ◽

Alexander Pitkin

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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Finite Difference Schemes for Option Pricing under Stochastic Volatility and Lévy Processes: Numerical Analysis and Computing

10.4995/thesis/10251/53917 ◽

2015 ◽

Author(s):

Mohamed Mostafa Refaat El-Fakharany

Keyword(s):

Numerical Analysis ◽

Finite Difference ◽

Option Pricing ◽

Stochastic Volatility ◽

Lévy Processes ◽

Levy Processes ◽

Difference Schemes ◽

Finite Difference Schemes

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