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ADI FD schemes for the numerical solution of the three-dimensional Heston-Cox-Ingersoll-Ross PDE
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| Abstract |
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| This paper deals with the numerical solution of the time-dependent, three-dimensional Heston-Cox-Ingersoll-Ross PDE, with all correlations nonzero, for the fair pricing of European call options. We apply a finite difference discretization on non-uniform spatial grids and then numerically solve the semi-discrete system in time by using an Alternating Direction Implicit scheme. We show that this leads to a highly efficient and stable numerical solution method. | | |
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English
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AIP conference proceedings / American Institute of Physics. - New York | |
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International Conference of Numerical Analysis and Applied Mathematics, (ICNAAM), SEP 19-25, 2012, Kos, GREECE | |
| Publication |
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New York : 2012
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| ISBN |
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978-0-7354-1091-6
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1479(2012), p. 2195-2199
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000310698100518
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