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.
翻译:本文深入探讨了文献中观察到的显式超时间步长格式(如Runge-Kutta-Chebyshev或Runge-Kutta-Legendre格式)在应用于Heston随机波动模型时的不稳定性。这些稳定性分析不仅限于超时间步长格式本身,具有更广泛的适用性。