Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model
Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model ArXiv ID: 2309.00540 “View on arXiv” Authors: Unknown Abstract This note explores in more details instabilities of explicit super-time-stepping schemes, such as the Runge-Kutta-Chebyshev or Runge-Kutta-Legendre schemes, noticed in the litterature, when applied to the Heston stochastic volatility model. The stability remarks are relevant beyond the scope of super-time-stepping schemes. Keywords: super-time-stepping schemes, Heston stochastic volatility model, Runge-Kutta-Chebyshev, numerical stability, stochastic differential equations, Equity (Derivatives Pricing) ...