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

SSRN Electronic Journal ◽

10.2139/ssrn.2864420 ◽

2016 ◽

Cited By ~ 1

Author(s):

Bertram DDring ◽

Christian Hendricks ◽

James Miles

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

High Order ◽

Sparse Grid ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Adi Scheme

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

Novel Methods in Computational Finance - Mathematics in Industry ◽

10.1007/978-3-319-61282-9_16 ◽

2017 ◽

pp. 295-312

Author(s):

Bertram Düring ◽

Christian Hendricks ◽

James Miles

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

High Order ◽

Sparse Grid ◽

Stochastic Volatility Models ◽

Volatility Models ◽

Adi Scheme

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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

Download Full-text

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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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 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

Download Full-text

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

Download Full-text

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

Download Full-text

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

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

Download Full-text

Efficient Asian Option Pricing Under Regime Switching Jump Diffusions and Stochastic Volatility Models

SSRN Electronic Journal ◽

10.2139/ssrn.3575594 ◽

2020 ◽

Author(s):

Justin Kirkby ◽

Duy Nguyen

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

Regime Switching ◽

Asian Option ◽

Stochastic Volatility Models ◽

Jump Diffusions ◽

Volatility Models

Download Full-text