Title
ADI finite difference discretization of the Heston-Hull-White PDE ADI finite difference discretization of the Heston-Hull-White PDE
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
article
Publication
New York ,
Subject
Mathematics
Computer. Automation
Source (journal)
AIP conference proceedings / American Institute of Physics. - New York
Volume/pages
1281(2010) , p. 1995-1999
ISSN
0094-243X
ISI
000289661501157
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
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.
Full text (open access)
https://repository.uantwerpen.be/docman/irua/876f5d/a319fee8.pdf
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