ADI schemes for pricing American options under the Heston model
Faculty of Sciences. Mathematics and Computer Science
Applied mathematical finance. - London
, p. 207-237
University of Antwerp
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.