Semi-implicit FEM for the valuation of American options under the Heston model (Q2115059)
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scientific article; zbMATH DE number 7490241
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| English | Semi-implicit FEM for the valuation of American options under the Heston model |
scientific article; zbMATH DE number 7490241 |
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Semi-implicit FEM for the valuation of American options under the Heston model (English)
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15 March 2022
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American options
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Heston model
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penalty method
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semi-implicit finite element method
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0.8489100337028503
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0.8114909529685974
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0.8047144412994385
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