ADI schemes for pricing American options under the Heston modelADI schemes for pricing American options under the Heston model
Faculty of Sciences. Mathematics and Computer Science
Applied mathematics and numerical analysis
Applied mathematical finance. - London
22(2015):3, 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.