Pricing European and American options in the Heston model with accelerated explicit finite differencing methods (Q2841332)
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scientific article; zbMATH DE number 6191019
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing European and American options in the Heston model with accelerated explicit finite differencing methods |
scientific article; zbMATH DE number 6191019 |
Statements
24 July 2013
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option pricing
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stochastic volatility
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finite difference methods
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diffusive processes
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nearly symmetric operators
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Courant-Friedrichs-Lewy condition
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Pricing European and American options in the Heston model with accelerated explicit finite differencing methods (English)
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