Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
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posted on 2023-06-09, 07:43 authored by Bertram Duering, James Miles, Christian HendricksWe 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.
Funding
Novel discretisations of higher-order nonlinear PDE; G1603; LEVERHULME TRUST; RPG-2015-069
DTA - University of Sussex 2013 (EPSRC); G1142; EPSRC-ENGINEERING & PHYSICAL SCIENCES RESEARCH COUNCIL; EP/L505109/1
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- Published
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- Accepted version
Publisher
Springer InternationalExternal DOI
Volume
25Page range
295-312Pages
626.0Book title
Novel Methods of Computational FinanceISBN
9783319612829Series
The European Consortium of Mathematics in IndustryDepartment affiliated with
- Mathematics Publications
Research groups affiliated with
- Numerical Analysis and Scientific Computing Research Group Publications
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- Yes
Editors
Michael Gunther, Matthias Erhhardt, E. Jan W. ter MatenLegacy Posted Date
2017-09-01First Compliant Deposit (FCD) Date
2017-09-01Usage metrics
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