|
Title
|
|
|
|
ADI schemes with Ikonen-Toivanen splitting for pricing American put options in the Heston model
|
|
|
Author
|
|
|
|
|
|
|
Abstract
|
|
|
|
| The numerical valuation of American put options under the Heston stochastic volatility model is considered. We investigate in this paper the potential of combining the recent splitting approach of Ikonen & Toivanen (2004, 2009) with Alternating Direction Implicit schemes to obtain more efficient numerical methods |
|
|
|
Language
|
|
|
|
Dutch
|
|
|
Source (journal)
|
|
|
|
AIP conference proceedings / American Institute of Physics. - New York
|
|
|
Publication
|
|
|
|
New York
:
2010
|
|
|
ISSN
|
|
|
|
0094-243X
|
|
|
DOI
|
|
|
|
10.1063/1.3498431
|
|
|
Volume/pages
|
|
|
|
1281
(2010)
, p. 231-234
|
|
|
ISI
|
|
|
|
000289661500059
|
|
|
Full text (Publisher's DOI)
|
|
|
|
|
|
|
Full text (open access)
|
|
|
|
|
|