Stability of central finite difference schemes for the Heston PDE |
| |
Authors: | Karel J in ’t Hout Kim Volders |
| |
Institution: | 1.Department of Mathematics and Computer Science,University of Antwerp,Antwerp,Belgium |
| |
Abstract: | This paper deals with stability in the numerical solution of the prominent Heston partial differential equation from mathematical
finance. We study the well-known central second-order finite difference discretization, which leads to large semidiscrete
systems with nonnormal matrices A. By employing the logarithmic spectral norm we prove practical, rigorous stability bounds. Our theoretical stability results
are illustrated by ample numerical experiments. We also apply the analysis to obtain useful stability bounds for time discretization
methods. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |