Title
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ADI schemes with Ikonen-Toivanen splitting for pricing American put options in the Heston model
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Author
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Abstract
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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 |
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Language
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Dutch
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Source (journal)
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AIP conference proceedings / American Institute of Physics. - New York
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Publication
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New York
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2010
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ISSN
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0094-243X
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Volume/pages
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1281
(2010)
, p. 231-234
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ISI
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000289661500059
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Full text (Publisher's DOI)
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Full text (open access)
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