PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS (Q2841332): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 20:21, 3 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS |
scientific article |
Statements
PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS (English)
0 references
24 July 2013
0 references
option pricing
0 references
stochastic volatility
0 references
finite difference methods
0 references
diffusive processes
0 references
nearly symmetric operators
0 references
Courant-Friedrichs-Lewy condition
0 references
