Open AccessADI Schemes with Ikonen—Toivanen Splitting for Pricing American put Options in the Heston Model
Author(s) -
Tinne Haentjens,
Karel in’t Hout,
Kim Volders,
Theodore E. Simos,
George Psihoyios,
Ch. Tsitouras
Publication year - 2010
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
SCImago Journal Rank - 0.177
H-Index - 75
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/1.3498431
Subject(s) - stochastic volatility , heston model , valuation (finance) , valuation of options , computer science , mathematics , numerical analysis , volatility (finance) , mathematical optimization , econometrics , sabr volatility model , economics , finance , mathematical analysis
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