Title
ADI FD schemes for the numerical solution of the three-dimensional Heston-Cox-Ingersoll-Ross PDE ADI FD schemes for the numerical solution of the three-dimensional Heston-Cox-Ingersoll-Ross PDE
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
conferenceObject
Publication
New York ,
Subject
Mathematics
Physics
Source (journal)
AIP conference proceedings / American Institute of Physics. - New York
Source (book)
International Conference of Numerical Analysis and Applied Mathematics, (ICNAAM), SEP 19-25, 2012, Kos, GREECE
Volume/pages
1479(2012) , p. 2195-2199
ISBN
978-0-7354-1091-6
ISI
000310698100518
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
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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Full text (open access)
https://repository.uantwerpen.be/docman/irua/886aad/105243.pdf
Handle