ADI Schemes for Pricing American Options under the Heston Model (Q4682480)
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scientific article; zbMATH DE number 6938626
Language | Label | Description | Also known as |
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English | ADI Schemes for Pricing American Options under the Heston Model |
scientific article; zbMATH DE number 6938626 |
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ADI Schemes for Pricing American Options under the Heston Model (English)
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18 September 2018
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alternating direction implicit schemes
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American option pricing
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Heston model
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linear complementarity problem
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Ikonen-Toivanen splitting
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