Pricing European and American Options under Heston Model using Discontinuous Galerkin Finite Elements

DOI10.1016/j.matcom.2020.05.022zbMath1524.91142arXiv1606.08381WikidataQ114149979 ScholiaQ114149979MaRDI QIDQ6274993

Murat Uzunca, Sinem Kozpınar, Bülent Karasözen

Publication date: 30 May 2016

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 element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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