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Article Dans Une Revue Journal of Computational and Applied Mathematics Année : 2014

High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids

Résumé

We derive high-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. The schemes are fourth-order accurate in space and second-order accurate in time for vanishing correlation. In our numerical study we obtain high-order numerical convergence also for non-zero correlation and non-smooth payoffs which are typical in option pricing. In all numerical experiments a comparative standard second-order discretisation is significantly outperformed. We conduct a numerical stability study which indicates unconditional stability of the scheme.
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hal-01978090 , version 1 (22-01-2019)

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Bertram Düring, Michel Fournié, Christof Heuer. High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. Journal of Computational and Applied Mathematics, 2014, 271, pp.247-266. ⟨10.1016/j.cam.2014.04.016⟩. ⟨hal-01978090⟩
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