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

Bertram Düring; Christof Heuer

doi:10.1007/978-3-031-11818-0_49

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arXiv · 2107.09094

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

Bertram Düring·Christof Heuer

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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.

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BibTeX RIS

Bertram Düring, Christof Heuer. 2021-07-19. Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models. https://doi.org/10.1007/978-3-031-11818-0_49

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