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Q5398776 - MaRDI portal

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scientific article; zbMATH DE number 6262740
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scientific article; zbMATH DE number 6262740

    Statements

    author
    Ning Zheng
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    Jun-Feng Yin
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    Cheng-long Xu
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    publication date
    28 February 2014
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    zbMATH Keywords
    Heston stochastic volatility model
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    American option
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    alternative direction implicit scheme
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    linear complementary problem
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    projected method
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    convergence
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    91G20
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    65M06
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    65M12
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    91B70
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    zbMATH DE Number
    6262740
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