A finite volume-alternating direction implicit method for the valuation of American options under the Heston model (Q5030557)
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scientific article; zbMATH DE number 7475951
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| English | A finite volume-alternating direction implicit method for the valuation of American options under the Heston model |
scientific article; zbMATH DE number 7475951 |
Statements
A finite volume–alternating direction implicit method for the valuation of American options under the Heston model (English)
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17 February 2022
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options valuation
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finite volume method
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alternating direction implicit method
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Heston model
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0.8622919321060181
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0.8489100337028503
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0.8272846937179565
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0.8259575366973877
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0.8227629661560059
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