Compact Finite Difference Scheme for Option Pricing in Heston’s Model

Mapping Intimacies ◽

10.1063/1.3498409 ◽

2010 ◽

Cited By ~ 1

Author(s):

Bertram Düring ◽

Michel Fournié ◽

Theodore E. Simos ◽

George Psihoyios ◽

Ch. Tsitouras

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Heston's Model

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On the Stability of a Compact Finite Difference Scheme for Option Pricing

Mathematics in Industry - Progress in Industrial Mathematics at ECMI 2010 ◽

10.1007/978-3-642-25100-9_25 ◽

2012 ◽

pp. 215-221 ◽

Cited By ~ 3

Author(s):

Bertram Düring ◽

Michel Fournié

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

The Stability

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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 ◽

Cited By ~ 3

Author(s):

Bertram Düring ◽

Michel Fournie

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

High Order ◽

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 Jump Models

SSRN Electronic Journal ◽

10.2139/ssrn.2954523 ◽

2017 ◽

Cited By ~ 1

Author(s):

Bertram DDring ◽

Alexander Pitkin

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

High Order ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2019.01.043 ◽

2019 ◽

Vol 355 ◽

pp. 201-217 ◽

Cited By ~ 2

Author(s):

Bertram Düring ◽

Alexander Pitkin

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

High Order ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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

SSRN Electronic Journal ◽

10.2139/ssrn.3275199 ◽

2018 ◽

Cited By ~ 2

Author(s):

Bertram Düring ◽

Alexander Pitkin

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

High Order ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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

Progress in Industrial Mathematics at ECMI 2018 - Mathematics in Industry ◽

10.1007/978-3-030-27550-1_46 ◽

2019 ◽

pp. 365-371

Author(s):

Bertram Düring ◽

Alexander Pitkin

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

High Order ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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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 ◽

Cited By ~ 43

Author(s):

Bertram Düring ◽

Michel Fournié

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Stochastic Volatility ◽

Finite Difference Scheme ◽

High Order ◽

Stochastic Volatility Models ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Volatility Models

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Fourth-Order Compact Finite Difference Scheme for American Option Pricing Under Regime-Switching Jump-Diffusion Models

International Journal of Applied and Computational Mathematics ◽

10.1007/s40819-017-0369-6 ◽

2017 ◽

Vol 3 (S1) ◽

pp. 547-567 ◽

Cited By ~ 5

Author(s):

Kuldip Singh Patel ◽

Mani Mehra

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Fourth Order ◽

Regime Switching ◽

Finite Difference Scheme ◽

Jump Diffusion ◽

American Option Pricing ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference

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A compact finite difference scheme for fractional Black-Scholes option pricing model

Applied Numerical Mathematics ◽

10.1016/j.apnum.2021.03.017 ◽

2021 ◽

Vol 166 ◽

pp. 40-60

Author(s):

Pradip Roul ◽

V.M.K. Prasad Goura

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Pricing Model ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Black Scholes ◽

Option Pricing Model

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A linearized, decoupled, and energy-preserving compact finite difference scheme for the coupled nonlinear Schrödinger equations

Numerical Methods for Partial Differential Equations ◽

10.1002/num.22125 ◽

2016 ◽

Vol 33 (3) ◽

pp. 840-867 ◽

Cited By ~ 11

Author(s):

Tingchun Wang

Keyword(s):

Finite Difference ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Nonlinear Schrödinger Equations ◽

Schrödinger Equations ◽

Coupled Nonlinear Schrödinger Equations ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Nonlinear Schrödinger ◽

Nonlinear Schrodinger Equations

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