A finite volume–alternating direction implicit method for the valuation of American options under the Heston model
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DOI: 10.1080/00207160.2019.1585826
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… read more here.
Keywords: implicit method; direction implicit; alternating direction; volume alternating ... See more keywords