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An ETD Method for American Options under the Heston Model
by
Company, Rafael
,
Egorova, Vera N.
,
Jódar, Lucas
,
Fuster Valls, Ferran
Published in
Computer modeling in engineering & sciences
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Computer Modeling In Engineering & Sciences
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Subjects
American Option Pricing
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Engineering
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Engineering, Multidisciplinary
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Exponential Time Differencing
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Free Boundaries
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Heston Model
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Mathematics
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Mathematics, Interdisciplinary Applications
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Method Of Lines
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Nonlinear Differential Equations
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Numerical Analysis
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Numerical Methods
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Partial Differential Equations
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Physical Sciences
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Science & Technology
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Securities Prices
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Semi-Discretization
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Stability Analysis
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Stochastic Models
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Technology
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