Sparse grid high-order ADI scheme for option pricing in stochastic volatility models
Computational Finance
2016-11-07 v1 Numerical Analysis
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.
Cite
@article{arxiv.1611.01379,
title = {Sparse grid high-order ADI scheme for option pricing in stochastic volatility models},
author = {Bertram Düring and Christian Hendricks and James Miles},
journal= {arXiv preprint arXiv:1611.01379},
year = {2016}
}
Comments
17 pages, 3 figures. arXiv admin note: substantial text overlap with arXiv:1512.02529