O'SULLIVAN, CONALL; O'SULLIVAN, STEPHEN - In: International Journal of Theoretical and Applied … 16 (2013) 03, pp. 1350015-1
We present an acceleration technique, effective for explicit finite difference schemes describing diffusive processes with nearly symmetric operators, called Super-Time-Stepping (STS). The technique is applied to the two-factor problem of option pricing under stochastic volatility. It is shown...