Compact Finite Difference Scheme for Option Pricing in Heston’s Model

Bertram Düring, Michel Fournié, Theodore E. Simos, George Psihoyios, Ch. Tsitouras

Type: Article

Publication Date: 2010-01-01

Citations: 2

DOI: https://doi.org/10.1063/1.3498409

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AIP conference proceedings - View

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Works Cited by This (6)

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+	Pricing Financial Instruments: The Finite Difference Method	2000	C. J. Randall Domingo Tavella
+	Efficient numerical methods for pricing American options under stochastic volatility	2007	Samuli Ikonen Jari Toivanen
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+	ADI finite difference schemes for option pricing in the Heston model with correlation	2008	Karel in ’t Hout S. Foulon
+ PDF Chat	High Order Compact Finite Difference Schemes for a Nonlinear Black-Scholes Equation	2003	Bertram Düring Michel Fournié Ansgar Jüngel
+ PDF Chat	High-order compact finite difference scheme for option pricing in stochastic volatility models	2012	Bertram Düring Michel Fournié