17 citations · 17 across the 2 of their papers we have counts for
2 papers
q-fin.CP2016
Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
Bertram Düring, Christian Hendricks, James Miles
We present a sparse grid high-order alternating direction implicit (ADI) scheme for option pricing in stochastic volatility models. The scheme is second-order in time and fourth-or…
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…