Semi-implicit FEM for the valuation of American options under the Heston model
type: Item
instance of: scholarly article
title: Semi-implicit FEM for the valuation of American options under the Heston model
zbMATH Open document ID: 1499.91179
author: Qi Zhang
author: Haiming Song
author: Yongle Hao
published in: Computational and Applied Mathematics
publication date: 2022-03-15T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 65M12
zbMATH DE Number: 7490241
zbMATH Keywords: American options
zbMATH Keywords: Heston model
zbMATH Keywords: penalty method
zbMATH Keywords: semi-implicit finite element method
MaRDI profile type: Publication
full work available at URL: s40314-022-01764-y
OpenAlex ID: W4212845678
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DOI: 10.1007/S40314-022-01764-Y
description: scientific article; zbMATH DE number 7490241