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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.CP2016
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…