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An ETD Method for American Options under the Heston Model

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An ETD Method for American Options under the Heston Model

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Company Rossi, R.; Egorova, VN.; Jódar Sánchez, LA.; Fuster Valls, F. (2020). An ETD Method for American Options under the Heston Model. Computer Modeling in Engineering & Sciences. 124(2):493-508. https://doi.org/10.32604/cmes.2020.010208

Por favor, use este identificador para citar o enlazar este ítem: http://hdl.handle.net/10251/161206

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Title: An ETD Method for American Options under the Heston Model
Author: Company Rossi, Rafael Egorova, Vera N. Jódar Sánchez, Lucas Antonio Fuster Valls, Ferran
UPV Unit: Universitat Politècnica de València. Instituto Universitario de Matemática Multidisciplinar - Institut Universitari de Matemàtica Multidisciplinària
Universitat Politècnica de València. Departamento de Matemática Aplicada - Departament de Matemàtica Aplicada
Issued date:
Abstract:
[EN] A numerical method for American options pricing on assets under the Heston stochastic volatility model is developed. A preliminary transformation is applied to remove the mixed derivative term avoiding known numerical ...[+]
Subjects: Heston model , American option pricing , Exponential time differencing , Semi-discretization
Copyrigths: Reconocimiento (by)
Source:
Computer Modeling in Engineering & Sciences. (issn: 1526-1492 )
DOI: 10.32604/cmes.2020.010208
Publisher:
TECH SCIENCE PRESS, 4924 BALBOA BLVD, # 488, ENCINO, USA, CA, 91316
Publisher version: https://doi.org/10.32604/cmes.2020.010208
Project ID:
AEI/MTM2017-89664-P-AR
Thanks:
This work has been supported by the Spanish Ministerio de Economia, Industria y Competitividad (MINECO), the Agencia Estatal de Investigacion (AEI) and Fondo Europeo de Desarrollo Regional (FEDER UE) grant MTM2017-89664-P.[+]
Type: Artículo

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