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.

引用

页码：2195 / 2199

页数：5

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