英文标题：
《High-order ADI scheme for option pricing in stochastic volatility models》
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作者：
Bertram D\\\"uring, James Miles
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最新提交年份：
2015
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英文摘要：
We propose a new high-order alternating direction implicit (ADI) finite difference scheme for the solution of initial-boundary value problems of convection-diffusion type with mixed derivatives and non-constant coefficients, as they arise from stochastic volatility models in option pricing. Our approach combines different high-order spatial discretisations with Hundsdorfer and Verwer\'s ADI time-stepping method, to obtain an efficient method which is fourth-order accurate in space and second-order accurate in time. Numerical experiments for the European put option pricing problem using Heston\'s stochastic volatility model confirm the high-order convergence.
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中文摘要：
我们提出了一种新的高阶交替方向隐式（ADI）有限差分格式，用于求解具有混合导数和非常数系数的对流扩散型初边值问题，因为它们来自期权定价中的随机波动率模型。我们的方法将不同的高阶空间离散化与Hundsdorfer和Verwer的ADI时间步进法相结合，得到了一种空间四阶精度、时间二阶精度的有效方法。利用Heston的随机波动率模型对欧洲看跌期权定价问题进行了数值实验，证实了高阶收敛性。
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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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