PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS

DOI10.1142/S0219024913500155zbMath1269.91088MaRDI QIDQ2841332

Conall O'Sullivan, Stephen O'Sullivan

Publication date: 24 July 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityoption pricingfinite difference methodsdiffusive processesCourant-Friedrichs-Lewy conditionnearly symmetric operators

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

Stabilized explicit Runge-Kutta methods for multi-asset American options ⋮ RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility

Cites Work

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