ADI FD Schemes for the Numerical Solution of the Three-dimensional Heston-Cox-Ingersoll-Ross PDE

被引：2
|
作者：
Haentjens, Tinne [1 ]
机构：
[1] Univ Antwerp, Dept Math & Comp Sci, B-2020 Antwerp, Belgium
来源：
NUMERICAL ANALYSIS AND APPLIED MATHEMATICS (ICNAAM 2012), VOLS A AND B | 2012年 / 1479卷
关键词：
financial option pricing; Heston model; Cox-Ingersoll-Ross model; finite difference methods; ADI schemes; TERM STRUCTURE; EQUATION; MODELS;
D O I：
10.1063/1.4756628
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper deals with the numerical solution of the time-dependent, three-dimensional Heston-Cox-Ingersoll-Ross PDE, with all correlations nonzero, for the fair pricing of European call options. We apply a finite difference discretization on non-uniform spatial grids and then numerically solve the semi-discrete system in time by using an Alternating Direction Implicit scheme. We show that this leads to a highly efficient and stable numerical solution method.
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页码：2195 / 2199
页数：5
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