Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 8, 2014 erstellt
Beschreibung:
This paper presents various finite difference schemes applied to the SABR arbitrage free density problem. Hagan initially proposed a Crank-Nicolson discretization, which can lead to oscillations in the option price. Among a variety of finite difference schemes, it is found that the TR-BDF2 and Lawson-Swayne schemes stand out on this problem in terms of stability and speed