Efficient smoothing of Crank-Nicolson method for pricing barrier options under stochastic volatility
نویسندگان
چکیده
منابع مشابه
Efficient Numerical Methods for Pricing American Options Under Stochastic Volatility
Five numerical methods for pricing American put options under Heston’s stochastic volatility model are described and compared. The option prices are obtained as the solution of a two-dimensional parabolic partial differential inequality. A finite difference discretization on nonuniform grids leading to linear complementarity problems with M -matrices is proposed. The projected SOR, a projected ...
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ژورنال
عنوان ژورنال: PAMM
سال: 2007
ISSN: 1617-7061,1617-7061
DOI: 10.1002/pamm.200700249