英文标题：
《High-order compact finite difference scheme for option pricing in
stochastic volatility models》
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作者：
Bertram D\\\"uring, Michel Fourni\\\'e
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最新提交年份：
2014
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英文摘要：
We derive a new high-order compact finite difference scheme for option pricing in stochastic volatility models. The scheme is fourth-order accurate in space and second-order accurate in time. Under some restrictions, theoretical results like unconditional stability in the sense of von Neumann are presented. Where the analysis becomes too involved we validate our findings by a numerical study. Numerical experiments for the European option pricing problem are presented. We observe fourth-order convergence for non-smooth payoff.
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中文摘要：
我们推导了随机波动率模型中期权定价的一种新的高阶紧致差分格式。该格式在空间上具有四阶精度，在时间上具有二阶精度。在一定的限制条件下，给出了von Neumann意义下的无条件稳定性等理论结果。当分析变得过于复杂时，我们通过数值研究来验证我们的发现。给出了欧式期权定价问题的数值实验。我们观察到非光滑支付的四阶收敛性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics 数学
二级分类：Numerical Analysis 数值分析
分类描述：Numerical algorithms for problems in analysis and algebra, scientific computation
分析和代数问题的数值算法，科学计算
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