A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (Q651445)
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scientific article; zbMATH DE number 5989143
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| English | A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility |
scientific article; zbMATH DE number 5989143 |
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A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility (English)
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18 December 2011
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ADI scheme
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stability analysis
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American put options
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Heston model
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0.8445298075675964
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0.8009629249572754
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0.7942047715187073
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0.790396511554718
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