Publication
Title
On multistep stabilizing correction splitting methods with applications to the Heston Model
Author
Abstract
In this note we consider splitting methods based on linear multistep methods and stabilizing corrections. To enhance the stability of the methods, we employ an idea of Bruno and Cubillos [O. P. Bruno and M. Cubillos, J. Comput. Phys., 307 (2016), pp. 476--495], who combine a high-order extrapolation formula for the explicit term with a formula of one order lower for the implicit terms. Several examples of the obtained multistep stabilizing correction methods are presented, and results on linear stability and convergence are derived. The methods are tested in the application to the well-known Heston model arising in financial mathematics and are found to be competitive with well-established one-step splitting methods from the literature.
Language
English
Source (journal)
SIAM journal on scientific computing. - Philadelphia, Pa
Publication
Philadelphia, Pa : 2018
ISSN
1064-8275
Volume/pages
40:3(2018), p. A1408-A1429
ISI
000436986000029
Full text (Publisher's DOI)
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 16.05.2018
Last edited 15.07.2021
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