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

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posted on 2023-06-09, 07:43 authored by Bertram Duering, James Miles, Christian Hendricks
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.

Funding

Novel discretisations of higher-order nonlinear PDE; G1603; LEVERHULME TRUST; RPG-2015-069

DTA - University of Sussex 2013 (EPSRC); G1142; EPSRC-ENGINEERING & PHYSICAL SCIENCES RESEARCH COUNCIL; EP/L505109/1

History

Publication status

  • Published

File Version

  • Accepted version

Publisher

Springer International

Volume

25

Page range

295-312

Pages

626.0

Book title

Novel Methods of Computational Finance

ISBN

9783319612829

Series

The European Consortium of Mathematics in Industry

Department affiliated with

  • Mathematics Publications

Research groups affiliated with

  • Numerical Analysis and Scientific Computing Research Group Publications

Full text available

  • No

Peer reviewed?

  • Yes

Editors

Michael Gunther, Matthias Erhhardt, E. Jan W. ter Maten

Legacy Posted Date

2017-09-01

First Compliant Deposit (FCD) Date

2017-09-01

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