"A finite volume-alternating direction implicit method for the valuation of ..."

Jiacheng Cai, Hongtao Yang (2020)

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DOI: 10.1080/00207160.2019.1585826

access: closed

type: Journal Article

metadata version: 2020-04-03

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Jiacheng Cai, Hongtao Yang:
A finite volume-alternating direction implicit method for the valuation of American options under the Heston model. Int. J. Comput. Math. 97(3): 700-724 (2020)

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