Sparse grid high-order ADI scheme for option pricing in stochastic volatility models

Düring, Bertram, Miles, James and Hendricks, Christian (2017) Sparse grid high-order ADI scheme for option pricing in stochastic volatility models. In: Erhhardt, Matthias, Gunther, Michael and ter Maten, E. Jan W. (eds.) Novel Methods of Computational Finance. The European Consortium of Mathematics in Industry, 25 . Springer International, pp. 295-312. ISBN 978-3-319-61282-9 (Accepted)

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Abstract

We present a sparse grid high-order alternating direction implicit (ADI) scheme for option pricing in stochastic volatility models. The scheme is second-order in time and fourth-order in space. Numerical experiments confirm the computational efficiency gains achieved by the sparse grid combination technique.

Item Type: Book Section
Schools and Departments: School of Mathematical and Physical Sciences > Mathematics
Research Centres and Groups: Numerical Analysis and Scientific Computing Research Group
Subjects: Q Science > QA Mathematics
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Depositing User: Billy Wichaidit
Date Deposited: 01 Sep 2017 15:24
Last Modified: 08 Sep 2017 08:08
URI: http://sro.sussex.ac.uk/id/eprint/69972

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Project NameSussex Project NumberFunderFunder Ref
Novel discretisations of higher-order nonlinear PDEG1603LEVERHULME TRUSTRPG-2015-069
DTA - University of Sussex 2013 (EPSRC)G1142EPSRC-ENGINEERING & PHYSICAL SCIENCES RESEARCH COUNCILEP/L505109/1