کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4639640 | 1341242 | 2012 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
High-order compact finite difference scheme for option pricing in stochastic volatility models
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth order accurate in space and second order accurate in time. Under some restrictions, theoretical results like unconditional stability in the sense of von Neumann are presented. Where the analysis becomes too involved we validate our findings by a numerical study. Numerical experiments for the European option pricing problem are presented. We observe fourth order convergence for non-smooth payoff.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 236, Issue 17, November 2012, Pages 4462–4473
Journal: Journal of Computational and Applied Mathematics - Volume 236, Issue 17, November 2012, Pages 4462–4473
نویسندگان
Bertram Düring, Michel Fournié,