Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models

07/19/2021

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by   Bertram Düring, et al.

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We propose a time-adaptive, high-order compact finite difference scheme for option pricing in a family of stochastic volatility models. We employ a semi-discrete high-order compact finite difference method for the spatial discretisation, and combine this with an adaptive time discretisation, extending ideas from [LSRHF02] to fourth-order multistep methods in time.