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Title
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ADI schemes for pricing American options under the Heston model
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Author
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Abstract
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| 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. |
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Language
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English
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Source (journal)
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Applied mathematical finance. - London
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Publication
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London
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2015
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ISSN
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1350-486X
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DOI
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10.1080/1350486X.2015.1009129
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Volume/pages
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22
:3
(2015)
, p. 207-237
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Full text (Publisher's DOI)
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Full text (open access)
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Full text (publisher's version - intranet only)
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