A note on the numerical resolution of Heston PDEs (Q829233)
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scientific article; zbMATH DE number 7344574
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the numerical resolution of Heston PDEs |
scientific article; zbMATH DE number 7344574 |
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A note on the numerical resolution of Heston PDEs (English)
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5 May 2021
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This paper considered the numerical solution of a PDE for Heston model's dynamics. Two numerical methods: the alternating direction implicit method and the radial basis functions method are applied the solve the PDE. Comparisons of the two schemes in the case of a vanilla are discussed.
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radial basis functions
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Heston model
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ADI
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