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

2013 ◽  
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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