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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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0111 · Jun 202119922001200920172026
2 results for “Runge-Kutta-Legendre”
Pricing American options with the Runge-Kutta-Legendre finite difference schemeq-fin.CP

The Runge-Kutta-Legendre scheme improves pricing American options and other derivatives.

problem Pricing American options and other derivatives with improved accuracy and stability.
method Runge-Kutta-Legendre finite difference scheme applied to Black-Scholes and Heston models.
result Improved convergence and stability compared to existing schemes.
American optionsfinite differenceRunge-Kutta-LegendreBlack-ScholesHeston model
2021-06-22abs ↗pdf ↗
Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Modelq-fin.CP

Note on instabilities in super-time-stepping methods for Heston model.

problem Instabilities in super-time-stepping methods applied to Heston model.
method Exploration of explicit super-time-stepping schemes (RK-Chebyshev, RK-Legendre) for Heston model.
result Relevance of stability remarks beyond super-time-stepping schemes.
instabilitiessuper-time-steppingHeston modelstochastic volatility
2023-09-01abs ↗pdf ↗