ADI Schemes for Pricing American Options under the Heston Model (Q4682480)
From MaRDI portal
scientific article; zbMATH DE number 6938626
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ADI Schemes for Pricing American Options under the Heston Model |
scientific article; zbMATH DE number 6938626 |
Statements
ADI Schemes for Pricing American Options under the Heston Model (English)
0 references
18 September 2018
0 references
alternating direction implicit schemes
0 references
American option pricing
0 references
Heston model
0 references
linear complementarity problem
0 references
Ikonen-Toivanen splitting
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
