SIAM Journal on Numerical Analysis, Vol. 51, No. 4 (2013), pp. 2470-2490 (21 pages) The primary aim of this paper is to answer the question, What are the highest-order five-or nine-point compact ...

We propose a hybrid spatial finite-difference/pseudospectral discretization for European option-pricing problems under the Heston and Heston–Hull–White models. In ...

We study the stability of finite difference schemes for hyperbolic initial boundary value problems in one space dimension. Assuming l 2 -stability for the discretization of the hyperbolic operator as ...

In this paper we investigate the effectiveness of alternating direction implicit (ADI) time-discretization schemes in the numerical solution of the three-dimensional Heston-Hull-White partial ...