75 citations · 453 across the 27 of their papers we have counts for
6 papers · 1 filter
Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models
Bertram Düring, Christof Heuer
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…
High-order compact finite difference scheme for option pricing in stochastic volatility jump models
Bertram Düring, Alexander Pitkin
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility jump models, e.g. in Bates model. In such models the option price is determi…
High-order ADI scheme for option pricing in stochastic volatility models
Bertram Düring, James Miles
We propose a new high-order alternating direction implicit (ADI) finite difference scheme for the solution of initial-boundary value problems of convection-diffusion type with mixe…
High-order compact schemes for Black-Scholes basket options
Bertram Düring, Christof Heuer
We present a new high-order compact scheme for the multi-dimensional Black-Scholes model with application to European Put options on a basket of two underlying assets. The scheme i…
High-order compact finite difference scheme for option pricing in stochastic volatility models
Bertram Düring, Michel Fournié
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 accura…
High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids
Bertram Düring, Michel Fournié, Christof Heuer
We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and s…