ADI schemes for pricing American options under the Heston model
classification
💱 q-fin.CP
cs.NAmath.NA
keywords
hestonmodeloptionspricingschemesunderactualadaptation
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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.
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