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Title
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ADI finite difference discretization of the Heston-Hull-White PDE
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Author
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Abstract
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| This paper concerns the efficient numerical solution of the time-dependent, three-dimensional Heston-Hull-White PDE for the fair prices of European call options. The numerical solution method described in this paper consists of a finite difference discretization on non-uniform spatial grids followed by an Alternating Direction Implicit scheme for the time discretization and extends the method recently proved effective by In't Hout & Foulon (2010) for the simpler, two-dimensional Heston PDE. |
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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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Publication
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New York
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2010
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ISSN
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0094-243X
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DOI
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10.1063/1.3498329
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Volume/pages
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1281
(2010)
, p. 1995-1999
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ISI
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000289661501157
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Full text (Publisher's DOI)
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Full text (open access)
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