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ADI schemes for pricing American options under the Heston model
- 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.
- Subjects :
- Quantitative Finance - Computational Finance
Mathematics - Numerical Analysis
Subjects
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