Compact Finite Difference Scheme for Option Pricing in Heston’s Model
Copyright policy ) Bertram Düring; Michel Fournié; Theodore E. Simos; George Psihoyios; Ch. Tsitouras;
Compact Finite Difference Scheme for Option Pricing in Heston’s Model
We present a new compact high‐order finite difference scheme for option pricing in the well‐known Heston stochastic volatility model. The scheme is fourth order accurate in space and second order accurate in time. This is also confirmed by the numerical experiments that we present.
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These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
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