Chiarella, Carl; Kang, Boda; Meyer, Gunter H. - In: The Numerical Solution of the American Option Pricing …
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...