Pricing European and American options under Heston model using discontinuous Galerkin finite elements
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Publication:1998136
DOI10.1016/j.matcom.2020.05.022OpenAlexW2806674963WikidataQ114149979 ScholiaQ114149979MaRDI QIDQ1998136
Sinem Kozpınar, Murat Uzunca, Bülent Karasözen
Publication date: 6 March 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.08381
preconditioningdiscontinuous Galerkin methodAmerican optionHeston modelEuropean optionrannacher smoothing
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (3)
A new approach for pricing discounted American options ⋮ Option valuation under the VG process by a DG method. ⋮ Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
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