Publication
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
Volume/pages
1281(2010), p. 231-234
ISI
000289661500059
Full text (Publisher's DOI)
Full text (open access)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 22.10.2010
Last edited 22.11.2017
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