This paper studies an effective finite difference scheme for solving two-dimensional Heston stochastic volatility option-pricing model problems. A dynamically balanced up-downwind strategy for approximating the cross-derivative is implemented and analyzed. Semi-discretized and spatially nonuniform platforms are utilized. The numerical method comprised is simple and straightforward, with reliable first order overall approximations. The spectral norm is used throughout the investigation, and numerical stability is proven. Simulation experiments are given to illustrate our results.

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investigation spatially nonuniform platforms semidiscretized dynamically balanced updownwind strategy finite difference scheme numerical method stability spectral norm twodimensional heston stochastic volatility optionpricing model crossderivative

Chong Sun,Qin Sheng,.An Exploration of a Balanced Up-Downwind Scheme for Solving Heston Volatility Model Equations on Variable Grids. 12 (2),.

Chong Sun,Qin Sheng,"An Exploration of a Balanced Up-Downwind Scheme for Solving Heston Volatility Model Equations on Variable Grids" 12

Chong Sun,Qin Sheng,"An Exploration of a Balanced Up-Downwind Scheme for Solving Heston Volatility Model Equations on Variable Grids"