A note on the numerical resolution of Heston PDEs. (English) Zbl 1466.65060
This paper considered the numerical solution of a PDE for Heston model’s dynamics. Two numerical methods: the alternating direction implicit method and the radial basis functions method are applied the solve the PDE. Comparisons of the two schemes in the case of a vanilla are discussed.
Reviewer: Xiaofei Zhao (Wuhan)
MSC:
| 65M06 | Finite difference methods for initial value and initial-boundary value problems involving PDEs |
| 65M70 | Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs |
| 65D05 | Numerical interpolation |
| 65D12 | Numerical radial basis function approximation |
| 91G20 | Derivative securities (option pricing, hedging, etc.) |
| 91G60 | Numerical methods (including Monte Carlo methods) |
Software:
MatlabReferences:
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