A finite volume–alternating direction implicit method for the valuation of American options under the Heston model (Q5030557)
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scientific article; zbMATH DE number 7475951
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A finite volume–alternating direction implicit method for the valuation of American options under the Heston model |
scientific article; zbMATH DE number 7475951 |
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A finite volume–alternating direction implicit method for the valuation of American options under the Heston model (English)
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17 February 2022
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options valuation
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finite volume method
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alternating direction implicit method
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Heston model
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