41 citations · 70 across the 4 of their papers we have counts for
5 papers
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…
Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids
Bertram Düring, Christof Heuer
We present high-order compact schemes for a linear second-order parabolic partial differential equation (PDE) with mixed second-order derivative terms in two spatial dimensions. Th…
High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions
Bertram Düring, Christof Heuer
We present a high-order compact finite difference approach for a class of parabolic partial differential equations with time and space dependent coefficients as well as with mixed…
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 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…