Pricing European and American options in the Heston model with accelerated explicit finite differencing methods
Conall O'Sullivan; Stephen O'Sullivan
| Year of publication: |
2013
|
|---|---|
| Authors: | O'Sullivan, Conall ; O'Sullivan, Stephen |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 3, p. 1-35
|
| Subject: | American option pricing | stochastic volatility | finite difference methods | super-time-stepping | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009756043