Representation and Numerical Approximation of American Option Prices under Heston

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

MoreLess

Authors:	Chiarella, Carl ; Kang, Boda ; Meyer, Gunter H.
Published in:	The Numerical Solution of the American Option Pricing Problem:Finite Difference and Transform Approaches.
Subject:	American Option \| Early Exercise \| Method of Lines \| Finite Difference Approach \| Integral Transform Approach \| Numerical Methods

Online Resource

Check full text access |

More access options

www.worldscientific.com

Check Google Scholar

I need help

More details

Extent:	application/pdf text/html
Type of publication:	Article
Classification:	G00 - Financial Economics. General ; D53 - Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011206477