ADI schemes for pricing American options under the Heston model
Year of publication: |
July-September 2015
|
---|---|
Authors: | Haentjens, Tinne ; Hout, Karel J. in 't |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 22.2015, 3/4, p. 207-237
|
Subject: | Alternating direction implicit schemes | American option pricing | Heston model | linear complementarity problem | Ikonen-Toivanen splitting | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
-
New splitting scheme for pricing American options under the Heston model
Safaei, Maryam, (2018)
-
Early exercise premium method for pricing American options under the J-model
Jerbi, Yacin, (2016)
-
Loan growth and bank solvency : evidence from the Pakistani banking sector
Kashif, Muhammad, (2016)
- More ...
-
Haentjens, Tinne, (2012)
-
ADI finite difference schemes for the Heston-Hull-White PDE
Haentjens, Tinne, (2011)
-
ADI schemes for pricing American options under the Heston model
Haentjens, Tinne, (2013)
- More ...