ADI finite difference schemes for option pricing in the Heston model with correlation (Q5862255)
From MaRDI portal
scientific article; zbMATH DE number 7485207
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ADI finite difference schemes for option pricing in the Heston model with correlation |
scientific article; zbMATH DE number 7485207 |
Statements
7 March 2022
0 references
initial-boundary value problems
0 references
convection-diffusion equations
0 references
mixed derivatives
0 references
Heston model
0 references
option pricing
0 references
method-of-lines
0 references
finite difference methods
0 references
ADI splitting schemes
0 references
math.NA
0 references
0 references
0 references
0 references
0 references
0 references
