Haentjens, Tinne

in 't Hout, Karel

Abstract: This paper concerns the efficient numerical solution of the time-dependent, three-dimensional Heston-Hull-White PDE for the fair prices of European call options. The numerical solution method described in this paper consists of a finite difference discretization on non-uniform spatial grids followed by an Alternating Direction Implicit scheme for the time discretization and extends the method recently proved effective by In't Hout & Foulon (2010) for the simpler, two-dimensional Heston PDE

ADI finite difference discretization of the Heston-Hull-White PDE

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