PRICING EUROPEAN AND AMERICAN OPTIONS IN THE HESTON MODEL WITH ACCELERATED EXPLICIT FINITE DIFFERENCING METHODS

DOI10.1142/S0219024913500155zbMath1269.91088MaRDI QIDQ2841332

Conall O'Sullivan, Stephen O'Sullivan

Publication date: 24 July 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatility; option pricing; finite difference methods; diffusive processes; Courant-Friedrichs-Lewy condition; nearly symmetric operators

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

65C30: Numerical solutions to stochastic differential and integral equations

Related Items

Stabilized explicit Runge-Kutta methods for multi-asset American options, RBF-FD schemes for option valuation under models with price-dependent and stochastic volatility

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