75 citations · 453 across the 27 of their papers we have counts for
Showing 2015 · q-fin.CPShow all
2 papers · 2 filters
q-fin.CP2015★ 17 cited
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…
q-fin.CP2015
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…