IKONEN, SAMULI; TOIVANEN, JARI - In: International Journal of Theoretical and Applied … 10 (2007) 02, pp. 331-361
Efficient numerical methods for pricing American options using Heston's stochastic volatility model are proposed. Based on this model the price of a European option can be obtained by solving a two-dimensional parabolic partial differential equation. For an American option the early exercise...