ADI Schemes in the Numerical Solution of the Heston PDE

DOI10.1063/1.2790085zbMath1152.65401OpenAlexW1638645794MaRDI QIDQ5504295

Karel J. in 't Hout

Publication date: 22 January 2009

Published in: AIP Conference Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1063/1.2790085

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for stiff equations (65L04)

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