Pricing European and American options under Heston model using discontinuous Galerkin finite elements (Q1998136)
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scientific article; zbMATH DE number 7318117
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| English | Pricing European and American options under Heston model using discontinuous Galerkin finite elements |
scientific article; zbMATH DE number 7318117 |
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Pricing European and American options under Heston model using discontinuous Galerkin finite elements (English)
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6 March 2021
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Heston model
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European option
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American option
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discontinuous Galerkin method
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rannacher smoothing
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preconditioning
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