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Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model

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  • Fabien Le Floc'h

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.

Suggested Citation

  • Fabien Le Floc'h, 2023. "Instabilities of Super-Time-Stepping Methods on the Heston Stochastic Volatility Model," Papers 2309.00540, arXiv.org.
    • Handle: RePEc:arx:papers:2309.00540
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