CPNANANov 4, 2016

Sparse grid high-order ADI scheme for option pricing in stochastic volatility models

arXiv:1611.013793 citationsh-index: 5

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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.

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