u***1
发帖数: 179 | 1 Using finite difference method to solve the Heston model, the unknown
function is u(x,y, t). After discretizing in x- and y-direction, we will get
an ODE system: v'(t) = Av(t)+b(t) with initial condition. At this point,
some people suggest to split A into A = A0 + A1 + A2, and b(t) = b0 + b1 +
b2. Here, A0 and b0 come from the mixed derivative, A1 and b1 come from the
derivatives in x-direction, A2 and b2 come from the derivatives in y-
direction. Then using an implicit method to solve it.
My qu |
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