Publication
Title
ADI schemes for pricing American options under the Heston model
Author
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.
Language
English
Source (journal)
Applied mathematical finance. - London
Publication
London : 2015
ISSN
1350-486X
Volume/pages
22:3(2015), p. 207-237
Full text (Publisher's DOI)
Full text (open access)
Full text (publisher's version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Record
Identification
Creation 21.09.2015
Last edited 01.10.2015
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