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ABSTRACT A finite volume–alternating direction implicit method is proposed for numerical valuation of the American options under the Heston model. It is based on decoupling correlated stock price process and… Click to show full abstract
ABSTRACT A finite volume–alternating direction implicit method is proposed for numerical valuation of the American options under the Heston model. It is based on decoupling correlated stock price process and volatility process so that corresponding partial differential operator does not contain the mixed partial derivative term. Hence, the proposed method is numerically simple and fast. Numerical results are presented to examine the accuracy of the proposed method and to compare it with the others.
Keywords:
implicit method;
direction implicit;
alternating direction;
volume alternating;
finite volume;
valuation american
Journal Title: International Journal of Computer Mathematics
Year Published: 2020
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Journal Title: International Journal of Computer Mathematics
Year Published: 2020
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!