ADI schemes for pricing American options under the Heston model

Tinne Haentjens and Karel in 't Hout

Papers from arXiv.org

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.

Date: 2013-08
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1309.0110

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