An Exploration of a Balanced Up-Downwind Scheme for Solving Heston Volatility Model Equations on Variable Grids
This paper studies an effective finite difference scheme for solving two-dimensional Heston stochastic volatility option-pricing model problems. A dynamically balanced up-downwind strategy for approximating the cross-derivative is implemented and analyzed. Semi-discretized and spatially nonuniform p...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-01-01
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| Series: | Algorithms |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1999-4893/12/2/30 |