PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS
Publication:2841332
DOI10.1142/S0219024913500155zbMath1269.91088MaRDI QIDQ2841332
Conall O'Sullivan, Stephen O'Sullivan
Publication date: 24 July 2013
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
stochastic volatilityoption pricingfinite difference methodsdiffusive processesCourant-Friedrichs-Lewy conditionnearly symmetric operators
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical solutions to stochastic differential and integral equations (65C30)
Related Items (2)
Cites Work
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