PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS (Q2841332): Difference between revisions

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Latest revision as of 16:42, 6 July 2024

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PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS
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    PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS (English)
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    24 July 2013
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    option pricing
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    stochastic volatility
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    finite difference methods
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    diffusive processes
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    nearly symmetric operators
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    Courant-Friedrichs-Lewy condition
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