162
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

A finite volume–alternating direction implicit method for the valuation of American options under the Heston model

&
Pages 700-724 | Received 09 Nov 2017, Accepted 11 Feb 2019, Published online: 18 Mar 2019
 

ABSTRACT

A finite volume–alternating direction implicit method is proposed for numerical valuation of the American options under the Heston model. It is based on decoupling correlated stock price process and volatility process so that corresponding partial differential operator does not contain the mixed partial derivative term. Hence, the proposed method is numerically simple and fast. Numerical results are presented to examine the accuracy of the proposed method and to compare it with the others.

2010 MATHEMATICS SUBJECT CLASSIFICATIONS:

Acknowledgements

The authors would like to thank the reviewers for their constructive comments that significantly improve the paper.

Disclosure statement

No potential conflict of interest was reported by the authors.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.