On the stability of a compact finite difference scheme for option pricing

Düring, Bertram and Fournié, Michel (2012) On the stability of a compact finite difference scheme for option pricing. In: Günther, Michael, Bartels, Andreas, Brunk, Markus, Schöps, S and Striebel, M (eds.) Progress in industrial mathematics at ECMI 2010. Mathematics in industry, 17 (3). Springer, Berlin, Heidelberg, pp. 215-221. ISBN 978-3642250996

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Abstract

In this short paper we are concerned with the von Neumann stability analysis of a compact high-order finite difference scheme for option pricing in the Heston stochastic volatility model. We first review stability results in the case of vanishing correlation and then present some new results on the behavior of the amplification factor for non-zero correlation.

Item Type: Book Section
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Subjects: Q Science > QA Mathematics > QA0297 Numerical analysis
Depositing User: Bertram During
Date Deposited: 09 May 2012 08:12
Last Modified: 11 Feb 2013 15:32
URI: http://sro.sussex.ac.uk/id/eprint/38669

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