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International Journal of Computer Mathematics Volume 97, 2020 - Issue 3
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Original Articles

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

Jiacheng CaiDepartment of Mathematics and Computer Science, Salisbury University, Salisbury, MD, USA
&
Hongtao YangDepartment of Mathematical Sciences, University of Nevada, Las Vegas, NV, USACorrespondence[email protected]
Pages 700-724 | Received 09 Nov 2017, Accepted 11 Feb 2019, Published online: 18 Mar 2019

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Changfeng Li, Yirang Yuan & Qing Yang. (2021) Characteristic mixed volume element for compressible two-phase displacement in porous media. International Journal of Computer Mathematics 98:11, pages 2233-2250.
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Articles from other publishers (1)

Xiaoting Gan, Xiaolin Chen & Dengguo Xu. (2022) Modulus-based Successive Overrelaxation Iteration Method for Pricing American Options with the Two-asset Black–Scholes and Heston's Models Based on Finite Volume Discretization. Taiwanese Journal of Mathematics 26:1.
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