A note on the numerical resolution of Heston PDEs (Q829233)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the numerical resolution of Heston PDEs |
scientific article |
Statements
A note on the numerical resolution of Heston PDEs (English)
0 references
5 May 2021
0 references
This paper considered the numerical solution of a PDE for Heston model's dynamics. Two numerical methods: the alternating direction implicit method and the radial basis functions method are applied the solve the PDE. Comparisons of the two schemes in the case of a vanilla are discussed.
0 references
radial basis functions
0 references
Heston model
0 references
ADI
0 references
0 references
0 references
