Representation and Numerical Approximation of American Option Prices under Heston

Carl Chiarella, Boda Kang and Gunter H. Meyer

Chapter 5 in The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches, 2014, pp 93-139 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionProblem Statement — The Heston ModelFinding the Density Function using Integral TransformsSolution for the American Call OptionNumerical Scheme for the Free SurfaceConclusionAppendixProof of Proposition 5.8 — The European Option PriceEvaluation of Common Integral Terms in the Heston ModelCalculation of the DeltasProof of Proposition 5.12Moments for the Heston ModelMethod of Lines for the Heston PDE

Keywords: American Option; Early Exercise; Method of Lines; Finite Difference Approach; Integral Transform Approach; Numerical Methods (search for similar items in EconPapers)
Date: 2014
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