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
![]() |
PDF
- Accepted Version
Restricted to SRO admin only Download (358kB) |
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: | |
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 |
View download statistics for this item
📧 Request an updateProject Name | Sussex Project Number | Funder | Funder Ref |
---|---|---|---|
Novel discretisations of higher-order nonlinear PDE | G1603 | LEVERHULME TRUST | RPG-2015-069 |
DTA - University of Sussex 2013 (EPSRC) | G1142 | EPSRC-ENGINEERING & PHYSICAL SCIENCES RESEARCH COUNCIL | EP/L505109/1 |