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- W2801020567 abstract "We propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models. In the direction of the underlying asset, where the payoff profile is nonsmooth, we use a standard central second-order finite-difference scheme, whereas we use a Chebyshev collocation method in the other spatial dimensions. In the time domain, we employ alternating direction implicit schemes to efficiently decompose the system matrix into simpler one-dimensional problems. This approach allows us to compute numerical solutions, which are second-order accurate in time and exhibit spectral accuracy in the spatial domains except for the asset direction. The numerical experiments reveal that the proposed scheme outperforms the standard second-order finite-difference scheme in terms of accuracy versus runtime and shows an unconditionally stable behavior." @default.
- W2801020567 created "2018-05-17" @default.
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- W2801020567 date "2018-01-01" @default.
- W2801020567 modified "2023-09-24" @default.
- W2801020567 title "Hybrid finite-difference/pseudospectral methods for the Heston and Heston–Hull–White partial differential equations" @default.
- W2801020567 doi "https://doi.org/10.21314/jcf.2018.342" @default.
- W2801020567 hasPublicationYear "2018" @default.
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