Title
ADI schemes with Ikonen-Toivanen splitting for pricing American put options in the Heston model
Author
Faculty/Department
Faculty of Sciences. Mathematics and Computer Science
Publication type
article
Publication
New York ,
Subject
Mathematics
Computer. Automation
Source (journal)
AIP conference proceedings / American Institute of Physics. - New York
Volume/pages
1281(2010) , p. 231-234
ISSN
0094-243X
ISI
000289661500059
Carrier
E
Target language
Dutch (dut)
Full text (Publishers DOI)
Affiliation
University of Antwerp
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
Full text (open access)
https://repository.uantwerpen.be/docman/irua/11a792/532f6a87.pdf
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