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ADI schemes with Ikonen-Toivanen splitting for pricing American put options in the Heston model

Authors :
Tinne Haentjens
Karel in’t Hout
Kim Volders
Theodore E. Simos
George Psihoyios
Ch. Tsitouras
Source :
AIP conference proceedings
Publication Year :
2010

Abstract

The numerical valuation of American put options under the Heston stochastic volatility model is considered. We investigate in this paper the potential of combining the recent splitting approach of Ikonen & Toivanen (2004, 2009) with Alternating Direction Implicit schemes to obtain more efficient numerical methods

Details

Language :
Dutch; Flemish
ISSN :
0094243X
Database :
OpenAIRE
Journal :
AIP conference proceedings
Accession number :
edsair.doi.dedup.....84a583a7440e56b8d4a4486cb2c63871