ADI schemes with Ikonen-Toivanen splitting for pricing American put options in the Heston model
In: AIP conference proceedings, 2010
Online
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Zugriff:
The numerical valuation of American put options under the Heston stochastic volatility model is considered. We investigate in this paper the potential of combining the recent splitting approach of Ikonen & Toivanen (2004, 2009) with Alternating Direction Implicit schemes to obtain more efficient numerical methods
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ADI schemes with Ikonen-Toivanen splitting for pricing American put options in the Heston model
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Autor/in / Beteiligte Person: | Haentjens, Tinne ; Karel in’t Hout ; Volders, Kim ; Simos, Theodore E. ; Psihoyios, George ; Tsitouras, Ch. |
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Zeitschrift: | AIP conference proceedings, 2010 |
Veröffentlichung: | 2010 |
Medientyp: | unknown |
ISSN: | 0094-243X (print) |
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