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B. Düring, M. Fournié:
"High-order compact finite difference scheme for option pricing in stochastic volatility models";
in: "ASC Report 17/2010", issued by: Institute for Analysis and Scientific Computing; Vienna University of Technology, Wien, 2010, ISBN: 978-3-902627-03-2.

We derive a new compact high-order finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth order accurate in space and second order accurate in time. To prove results on the unconditional stability in the sense of von
Neumann we perform a thorough Fourier analysis of the problem and
deduce convergence of our scheme. We present results of numerical experiments for the European and American option pricing problem.

s. engl. Abstract

Option pricing, compact finite difference discretizations, mixed derivatives, free boundary problem

http://www.asc.tuwien.ac.at/preprint/2010/asc17x2010.pdf

Project Head Bertram Düring:
Kinetische Vermögensverteilungsmodelle und diffusive Grenzwert-Gleichungen