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Title
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ADI FD schemes for the numerical solution of the three-dimensional Heston-Cox-Ingersoll-Ross PDE
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Author
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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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Language
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English
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Source (journal)
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AIP conference proceedings / American Institute of Physics. - New York
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Source (book)
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International Conference of Numerical Analysis and Applied Mathematics, (ICNAAM), SEP 19-25, 2012, Kos, GREECE
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Publication
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New York
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2012
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ISBN
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978-0-7354-1091-6
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DOI
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10.1063/1.4756628
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Volume/pages
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1479
(2012)
, p. 2195-2199
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ISI
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000310698100518
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Full text (Publisher's DOI)
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Full text (open access)
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