File(s) under permanent embargo
On the stability of a compact finite difference scheme for option pricing
chapter
posted on 2023-06-08, 11:21 authored by Bertram Duering, Michel FourniéIn this short paper we are concerned with the von Neumann stability analysis of a compact high-order finite difference scheme for option pricing in the Heston stochastic volatility model. We first review stability results in the case of vanishing correlation and then present some new results on the behavior of the amplification factor for non-zero correlation.
History
Publication status
- Published
File Version
- Accepted version
ISSN
1612-3956Publisher
SpringerExternal DOI
Issue
3Volume
17Page range
215-221Pages
658.0Book title
Progress in industrial mathematics at ECMI 2010Place of publication
Berlin, HeidelbergISBN
978-3642250996Series
Mathematics in industryDepartment affiliated with
- Mathematics Publications
Full text available
- No
Peer reviewed?
- Yes