A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (Q651445)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility |
scientific article |
Statements
A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (English)
0 references
18 December 2011
0 references
ADI scheme
0 references
stability analysis
0 references
American put options
0 references
Heston model
0 references
0 references
0 references
0 references
0 references
0 references
0 references
