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

Bertram Düring; Christian Hendricks; James Miles

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arXiv · 1611.01379

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

Bertram Düring·Christian Hendricks·James Miles

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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.

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q-fin.CP cs.NA math.NA

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Bertram Düring, Christian Hendricks, James Miles. 2016-11-04. Sparse grid high-order ADI scheme for option pricing in stochastic volatility models. https://arxiv.org/abs/1611.01379

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