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

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posted on 2023-06-08, 11:21 authored by Bertram Duering, Michel Fournié
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.

History

Publication status

  • Published

File Version

  • Accepted version

ISSN

1612-3956

Publisher

Springer

Issue

3

Volume

17

Page range

215-221

Pages

658.0

Book title

Progress in industrial mathematics at ECMI 2010

Place of publication

Berlin, Heidelberg

ISBN

978-3642250996

Series

Mathematics in industry

Department affiliated with

  • Mathematics Publications

Full text available

  • No

Peer reviewed?

  • Yes

Editors

Markus Brunk, Andreas Bartels, M Striebel, S Schöps, Michael Günther

Legacy Posted Date

2012-05-09

First Compliant Deposit (FCD) Date

2016-03-22

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