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 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 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

Download Full-text

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 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 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

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

SSRN Electronic Journal ◽

10.2139/ssrn.3890159 ◽

2021 ◽

Author(s):

Bertram Düring ◽

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 ◽

Compact Finite Difference Schemes

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Analysis of a conservative high-order compact finite difference scheme for the Klein–Gordon–Schrödinger equation

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2019.02.018 ◽

2019 ◽

Vol 358 ◽

pp. 84-96 ◽

Cited By ~ 2

Author(s):

Jialing Wang ◽

Dong Liang ◽

Yushun Wang

Keyword(s):

Finite Difference ◽

Schrödinger Equation ◽

Difference Scheme ◽

Finite Difference Scheme ◽

Schrodinger Equation ◽

High Order ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Klein Gordon

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Convergence of a high-order compact finite difference scheme for the Klein-Gordon-Schrödinger equations

Applied Numerical Mathematics ◽

10.1016/j.apnum.2019.03.004 ◽

2019 ◽

Vol 143 ◽

pp. 133-145 ◽

Cited By ~ 3

Author(s):

Juan Chen ◽

Fangqi Chen

Keyword(s):

Finite Difference ◽

Difference Scheme ◽

Finite Difference Scheme ◽

High Order ◽

Schrodinger Equations ◽

Schrödinger Equations ◽

Compact Finite Difference Scheme ◽

Compact Finite Difference ◽

Klein Gordon

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