75 citations · 453 across the 27 of their papers we have counts for
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q-fin.CP2014★ 75 cited
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…
q-fin.CP2014★ 29 cited
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…