High Order Discretization Schemes for Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.1452727 ◽

2011 ◽

Author(s):

Mohamed Sbai ◽

Benjamin Jourdain

Keyword(s):

Stochastic Volatility ◽

High Order ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Discretization Schemes

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High-order discretization schemes for stochastic volatility models

The Journal of Computational Finance ◽

10.21314/jcf.2013.262 ◽

2013 ◽

Vol 17 (2) ◽

pp. 113-165 ◽

Cited By ~ 2

Author(s):

Benjamin Jourdain ◽

Mohamed Sbai

Keyword(s):

Stochastic Volatility ◽

High Order ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Discretization Schemes

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High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids

SSRN Electronic Journal ◽

10.2139/ssrn.2295581 ◽

2013 ◽

Cited By ~ 5

Author(s):

Bertram Düring ◽

Michel Fournie ◽

Christof Heuer

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Stochastic Volatility ◽

High Order ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Stochastic Volatility Models ◽

Compact Finite Difference ◽

Volatility Models ◽

Uniform Grids

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High-order ADI scheme for option pricing in stochastic volatility models

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2016.09.040 ◽

2017 ◽

Vol 316 ◽

pp. 109-121 ◽

Cited By ~ 9

Author(s):

Bertram Düring ◽

James Miles

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

High Order ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Adi Scheme

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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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Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids

SSRN Electronic Journal ◽

10.2139/ssrn.2862607 ◽

2016 ◽

Author(s):

Bertram DDring ◽

Christof Heuer

Keyword(s):

Stochastic Volatility ◽

High Order ◽

Compact Schemes ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Uniform Grids

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Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme

Finance Research Letters ◽

10.1016/j.frl.2015.12.004 ◽

2016 ◽

Vol 16 ◽

pp. 220-229 ◽

Cited By ~ 3

Author(s):

Guangping Shi ◽

Xiaoxing Liu ◽

Pan Tang

Keyword(s):

Stochastic Volatility ◽

Numerical Scheme ◽

High Order ◽

Stochastic Volatility Models ◽

Pricing Options ◽

Volatility Models

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High-Order ADI Scheme for Option Pricing in Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.2700756 ◽

2015 ◽

Cited By ~ 1

Author(s):

Bertram DDring ◽

James Miles

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

High Order ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Adi Scheme

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A high-order RBF-FD method for option pricing under regime-switching stochastic volatility models with jumps

Journal of Computational Science ◽

10.1016/j.jocs.2019.05.007 ◽

2019 ◽

Vol 35 ◽

pp. 25-43

Author(s):

Geraldine Tour ◽

Nawdha Thakoor ◽

Désiré Yannick Tangman ◽

Muddun Bhuruth

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Regime Switching ◽

High Order ◽

Stochastic Volatility Models ◽

Volatility Models

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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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High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2014.04.016 ◽

2014 ◽

Vol 271 ◽

pp. 247-266 ◽

Cited By ~ 16

Author(s):

Bertram Düring ◽

Michel Fournié ◽

Christof Heuer

Keyword(s):

Finite Difference ◽

Option Pricing ◽

Stochastic Volatility ◽

High Order ◽

Difference Schemes ◽

Finite Difference Schemes ◽

Stochastic Volatility Models ◽

Compact Finite Difference ◽

Volatility Models ◽

Uniform Grids

Download Full-text