Pricing European and American options under Heston model using discontinuous Galerkin finite elements

DOI10.1016/j.matcom.2020.05.022OpenAlexW2806674963WikidataQ114149979 ScholiaQ114149979MaRDI QIDQ1998136

Sinem Kozpınar, Murat Uzunca, Bülent Karasözen

Publication date: 6 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.08381

zbMATH Keywords

preconditioningdiscontinuous Galerkin methodAmerican optionHeston modelEuropean optionrannacher smoothing

Mathematics Subject Classification ID

Related Items (3)

A new approach for pricing discounted American options ⋮ Option valuation under the VG process by a DG method. ⋮ Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization

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