Open AccessAn ETD Method for American Options under the Heston Model
Author(s) -
Rafael Company,
Vera N. Egorova,
Lucas J骴ar,
Ferran Fuster Valls
Publication year - 2020
Publication title -
computer modeling in engineering and sciences
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.341
H-Index - 60
eISSN - 1526-1506
pISSN - 1526-1492
DOI - 10.32604/cmes.2020.010208
Subject(s) - discretization , numerical analysis , stochastic volatility , convergence (economics) , mathematics , heston model , partial differential equation , derivative (finance) , nonlinear system , method of lines , valuation of options , numerical stability , mathematical optimization , stability (learning theory) , computer science , volatility (finance) , differential equation , mathematical analysis , econometrics , sabr volatility model , ordinary differential equation , economics , physics , differential algebraic equation , quantum mechanics , machine learning , financial economics , economic growth