Christof Heuer

University of Sussex - School of Mathematical and Physical Sciences

Brighton, BN1 9QH

United Kingdom

  • University of Sussex - School of Mathematical and Physical Sciences

SCHOLARLY PAPERS

4

DOWNLOADS

213

SSRN CITATIONS

4

CROSSREF CITATIONS

5

Scholarly Papers (4)

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1.

High-Order Compact Schemes for Parabolic Problems with Mixed Derivatives in Multiple Space Dimensions

Number of pages: 25 Posted: 28 Jun 2014
Bertram Düring and Christof Heuer
University of Warwick - Mathematics Institute and University of Sussex - School of Mathematical and Physical Sciences
Downloads 97 (410,057)
Citation 3

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High-order compact scheme, parabolic PDE, basket options, mixed derivatives, stability

2.

High-Order Compact Finite Difference Schemes for Option Pricing in Stochastic Volatility Models on Non-Uniform Grids

Number of pages: 21 Posted: 19 Jul 2013 Last Revised: 25 Apr 2014
Bertram Düring, Michel Fournie and Christof Heuer
University of Warwick - Mathematics Institute, Université Paul Sabatier Toulouse III and University of Sussex - School of Mathematical and Physical Sciences
Downloads 82 (455,147)
Citation 6

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option pricing, stochastic volatility, high-order compact finite difference method

3.

Essentially High-Order Compact Schemes with Application to Stochastic Volatility Models on Non-Uniform Grids

Number of pages: 6 Posted: 02 Nov 2016
Bertram Düring and Christof Heuer
University of Warwick - Mathematics Institute and University of Sussex - School of Mathematical and Physical Sciences
Downloads 20 (776,182)

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Option Pricing, Stochastic Volatility, High-Order Compact Finite Difference Method, Non-Uniform Gird

4.

Time-adaptive high-order compact finite difference schemes for option pricing in a family of stochastic volatility models

Number of pages: 7 Posted: 22 Jul 2021
Bertram Düring and Christof Heuer
University of Warwick - Mathematics Institute and University of Sussex - School of Mathematical and Physical Sciences
Downloads 14 (827,672)

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Option Pricing, time adaptivity, High-Order Compact Finite Differences, Stochastic Model