Düring, Bertram; Heuer, Christof Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models. (English) Zbl 07737856 Ehrhardt, Matthias (ed.) et al., Progress in industrial mathematics at ECMI 2021. Proceedings of the 21st European conference on mathematics for industry, ECMI 2021, Wuppertal, Germany, April 13–15, 2021. Selected and reviewed papers. Cham: Springer. Math. Ind. 39, 373-380 (2022). MSC: 65-XX PDFBibTeX XMLCite \textit{B. Düring} and \textit{C. Heuer}, Math. Ind. 39, 373--380 (2022; Zbl 07737856) Full Text: DOI arXiv
Düring, Bertram; Heuer, Christof Essentially high-order compact schemes with application to stochastic volatility models on non-uniform grids. (English) Zbl 1420.91506 Ehrhardt, Matthias (ed.) et al., Novel methods in computational finance. Cham: Springer. Math. Ind. 25, 313-319 (2017). MSC: 91G60 65M06 91G20 PDFBibTeX XMLCite \textit{B. Düring} and \textit{C. Heuer}, Math. Ind. 25, 313--319 (2017; Zbl 1420.91506) Full Text: DOI arXiv
Düring, Bertram; Heuer, Christof High-order compact schemes for parabolic problems with mixed derivatives in multiple space dimensions. (English) Zbl 1326.65105 SIAM J. Numer. Anal. 53, No. 5, 2113-2134 (2015). MSC: 65M06 65M12 91G60 91G20 35Q91 PDFBibTeX XMLCite \textit{B. Düring} and \textit{C. Heuer}, SIAM J. Numer. Anal. 53, No. 5, 2113--2134 (2015; Zbl 1326.65105) Full Text: DOI arXiv Link
Düring, Bertram; Heuer, Christof High-order compact schemes for Black-Scholes basket options. arXiv:1505.07613 Preprint, arXiv:1505.07613 [q-fin.CP] (2015). BibTeX Cite \textit{B. Düring} and \textit{C. Heuer}, ``High-order compact schemes for Black-Scholes basket options'', Preprint, arXiv:1505.07613 [q-fin.CP] (2015) Full Text: arXiv OA License
Düring, Bertram; Fournié, Michel; Heuer, Christof High-order compact finite difference schemes for option pricing in stochastic volatility models on non-uniform grids. (English) Zbl 1319.91156 J. Comput. Appl. Math. 271, 247-266 (2014). MSC: 91G60 91G20 65M06 65M50 65C30 PDFBibTeX XMLCite \textit{B. Düring} et al., J. Comput. Appl. Math. 271, 247--266 (2014; Zbl 1319.91156) Full Text: DOI arXiv