Düring, Bertram, Miles, James and Hendricks, Christian (2017) Sparse grid high-order ADI scheme for option pricing in stochastic volatility models. In: Erhhardt, Matthias, Gunther, Michael and ter Maten, E. Jan W. (eds.) Novel Methods of Computational Finance. The European Consortium of Mathematics in Industry, 25 . Springer International, pp. 295-312. ISBN 9783319612829

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Abstract

We present a sparse grid high-order alternating direction implicit (ADI) scheme for option pricing in stochastic volatility models. The scheme is second-order in time and fourth-order in space. Numerical experiments confirm the computational efficiency gains achieved by the sparse grid combination technique.

Item Type:	Book Section
Schools and Departments:	School of Mathematical and Physical Sciences > Mathematics
Research Centres and Groups:	Numerical Analysis and Scientific Computing Research Group
Subjects:	Q Science > QA Mathematics
Related URLs:	Publisher
Depositing User:	Billy Wichaidit
Date Deposited:	01 Sep 2017 15:24
Last Modified:	18 Oct 2017 10:34
URI:	http://srodev.sussex.ac.uk/id/eprint/69972

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