A finite volume–alternating direction implicit method for the valuation of American options under the Heston model

DOI10.1080/00207160.2019.1585826zbMath1480.91311OpenAlexW2915783411MaRDI QIDQ5030557

Hongtao Yang, Jiacheng Cai

Publication date: 17 February 2022

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2019.1585826

zbMATH Keywords

finite volume methodalternating direction implicit methodHeston modeloptions valuation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

Related Items (2)

Characteristic mixed volume element for compressible two-phase displacement in porous media ⋮ 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

Cites Work

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