Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model
Computational Finance
2023-09-04 v1 Numerical Analysis
Numerical Analysis
Abstract
This note explores in more details instabilities of explicit super-time-stepping schemes, such as the Runge-Kutta-Chebyshev or Runge-Kutta-Legendre schemes, noticed in the litterature, when applied to the Heston stochastic volatility model. The stability remarks are relevant beyond the scope of super-time-stepping schemes.
Keywords
Cite
@article{arxiv.2309.00540,
title = {Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model},
author = {Fabien Le Floc'h},
journal= {arXiv preprint arXiv:2309.00540},
year = {2023}
}