Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models
arXiv:2107.09094 · doi:10.1007/978-3-031-11818-0_49
Abstract
We propose a time-adaptive, high-order compact finite difference scheme for option pricing in a family of stochastic volatility models. We employ a semi-discrete high-order compact finite difference method for the spatial discretisation, and combine this with an adaptive time discretisation, extending ideas from [LSRHF02] to fourth-order multistep methods in time.
7 pages, 1 figure