Publication
Title
Stability of central finite difference schemes for the Heston PDE
Author
Abstract
This paper deals with stability in the numerical solution of the prominent Heston partial differential equation from mathematical finance. We study the well-known central second-order finite difference discretization, which leads to large semidiscrete systems with nonnormal matrices A. By employing the logarithmic spectral norm we prove practical, rigorous stability bounds. Our theoretical stability results are illustrated by ample numerical experiments. We also apply the analysis to obtain useful stability bounds for time discretization methods.
Language
English
Source (journal)
Numerical algorithms. - Basel
Publication
Basel : 2012
ISSN
1017-1398
Volume/pages
60:1(2012), p. 115-133
ISI
000302380100006
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 04.04.2012
Last edited 10.11.2017
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