Sparse grid high-order ADI scheme for option pricing in stochastic   volatility models
  We present a sparse grid high-order alternating direction implicit (ADI) scheme for option pricing in stochastic volatility models. The scheme is second-order in time and fourth-order in space. Numerical experiments confirm the computational efficiency gains achieved by the sparse grid combination technique. 
Bertram D\"uring, Christian Hendricks, James Miles
q-fin.CP math.NA