# Stability of central finite difference schemes for the Heston PDE

Source: [Stability of central finite difference schemes for the Heston PDE](<https://www.sota2.com/research/paper/68fa7c851e209131cea8e6a4>)

Collection index: [llms.txt](<https://www.sota2.com/research/llms.txt>)

Data updated: 2025-10-26T06:03:08.167Z

Authors: K.J. in 't Hout, K. Volders

Published: 2010-11-30T12:58:56.000Z

## Abstract

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.

## Recorded benchmark results

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## Original sources and implementation

[Original paper](<https://arxiv.org/abs/1011.6532>)

[PDF](<https://arxiv.org/pdf/1011.6532.pdf>)