ADI schemes for pricing American options under the Heston model
Computational Finance
2015-04-07 v1 Numerical Analysis
Abstract
In this paper a simple, effective adaptation of Alternating Direction Implicit (ADI) time discretization schemes is proposed for the numerical pricing of American-style options under the Heston model via a partial differential complementarity problem. The stability and convergence of the new methods are extensively investigated in actual, challenging applications. In addition a relevant theoretical result is proved.
Keywords
Cite
@article{arxiv.1309.0110,
title = {ADI schemes for pricing American options under the Heston model},
author = {Tinne Haentjens and Karel in 't Hout},
journal= {arXiv preprint arXiv:1309.0110},
year = {2015}
}