Publication
Title
ADI finite difference discretization of the Heston-Hull-White PDE
Author
Abstract
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.
Language
English
Source (journal)
AIP conference proceedings / American Institute of Physics. - New York
Publication
New York : 2010
ISSN
0094-243X
Volume/pages
1281(2010), p. 1995-1999
ISI
000289661501157
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 22.10.2010
Last edited 06.10.2017
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