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

Published 4 Nov 2016 in q-fin.CP and math.NA | (1611.01379v1)

Abstract: 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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