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ADI schemes for pricing American options under the Heston model

In this paper a simple, effective adaptation of Alternating Direction Implicit (ADI) time discretization schemes is proposed for the numerical pricing of American-style options under the Heston model via a partial differential complementarity problem. The stability and convergence of the new methods are extensively investigated in actual, challenging applications. In addition a relevant theoretical result is proved.
Year of publication:
2013-08
Authors: Haentjens, Tinne ; Karel in 't Hout
Institutions: arXiv.org
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application/pdf
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Type of publication: Book / Working Paper
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Persistent link: https://www.econbiz.de/10010691250
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