Back to Search Start Over

ADI schemes for pricing American options under the Heston model

Authors :
Haentjens, Tinne
Hout, Karel in 't
Publication Year :
2013

Abstract

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.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1309.0110
Document Type :
Working Paper
Full Text :
https://doi.org/10.1080/1350486X.2015.1009129