How to Construct a Fourth-Order Scheme for Heston-Hull-White Equation?

Abstract

The main objective of the present research is to calculate the weights of a fourth order finite difference (FD) numerical method in option pricing of the financial Heston-Hull-White (HHW) PDE arising in real markets, when in the dynamic of the model, not only the asset price but all the volatility and interest rates are stochastic.