High order splitting schemes with complex timesteps and their application in mathematical finance

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:262

Article; Proceedings Paper

Doersek, Philipp¹  Hansen, Eskil² 

[1] ETH, Dept Math, CH-8092 Zurich, Switzerland

[2] Lund Univ, Ctr Math Sci, SE-22100 Lund, Sweden

关键词: Splitting methods;    Complex coefficients;    Mathematical finance;    Convection-dominated problems;    Interest rate theory;   

DOI  :  10.1016/j.cam.2013.07.037

来源: Elsevier

【 摘 要 】

High order splitting schemes with complex timesteps are applied to Kolmogorov backward equations stemming from stochastic differential equations in the Stratonovich form. in the setting of weighted spaces, the necessary analyticity of the split semigroups can easily be proved. A numerical example from interest rate theory, the CIR2 model, is considered. The numerical results are robust for drift-dominated problems and confirm our theoretical results. (C) 2013 Elsevier B.V. All rights reserved.

【 授权许可】

Free