摘要翻译：
本文从数学金融学的角度讨论了突出的Heston偏微分方程数值解的稳定性。我们研究了中心二阶有限差分离散化方法，从而得到了具有非正规矩阵A的大型半离散系统。利用对数谱范数，我们证明了实际的、严格的稳定性界。我们的理论稳定性结果得到了大量数值实验的验证。
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英文标题：
《Stability of central finite difference schemes for the Heston PDE》
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作者：
K.J. in 't Hout and K. Volders
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  This paper deals with stability in the numerical solution of the prominent Heston partial differential equation from mathematical finance. We study the well-known central second-order finite difference discretization, which leads to large semi-discrete systems with non-normal matrices A. By employing the logarithmic spectral norm we prove practical, rigorous stability bounds. Our theoretical stability results are illustrated by ample numerical experiments.
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PDF链接：
https://arxiv.org/pdf/1011.6532