Title
ADI schemes for pricing American options under the Heston model ADI schemes for pricing American options under the Heston model
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
article
Publication
London ,
Subject
Mathematics
Source (journal)
Applied mathematical finance. - London
Volume/pages
22(2015) :3 , p. 207-237
ISSN
1350-486X
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
In this article, a simple, effective adaptation of Alternating Direction Implicit time discretization schemes is proposed for the numerical pricing of American-style options under the Heston model via a partial differential complementarity problem. The stability and convergence of the new methods are extensively investigated in actual, challenging applications. In addition, a relevant theoretical result is proved.
E-info
https://repository.uantwerpen.be/docman/iruaauth/a6385e/72093ca3801.pdf
Full text (open access)
https://repository.uantwerpen.be/docman/irua/8f54a9/10760.pdf
Handle