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Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
| Content Provider | Semantic Scholar |
|---|---|
| Author | During, Bertram Hendricks, Christian Miles, James |
| Copyright Year | 2016 |
| 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. |
| Starting Page | 295 |
| Ending Page | 312 |
| Page Count | 18 |
| File Format | PDF HTM / HTML |
| DOI | 10.1007/978-3-319-61282-9_16 |
| Alternate Webpage(s) | https://arxiv.org/pdf/1611.01379v1.pdf |
| Alternate Webpage(s) | https://doi.org/10.1007/978-3-319-61282-9_16 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |