Pricing European And American Options In The Heston Model With Accelerated Explicit Finite Differencing Methods

Authors

Conall O'Sullivan, University College Dublin
Stephen O'Sullivan, Technological University DublinFollow

Document Type

Article

Rights

This item is available under a Creative Commons License for non-commercial use only

Disciplines

1.1 MATHEMATICS

Publication Details

International Journal of Theoretical and Applied Finance 16 (03)

doi/abs/10.1142/S0219024913500155

DOI

http://doi.org/10.1142/S0219024913500155

Recommended Citation

O'Suillivan, C., O'Suillivan, S. : (2013) Pricing European and American Options under Heston's Stochastic Volatility Model with Accelerated Explicit Finite Differencing Methods, International Journal of Theoretical and Applied Finance 16 (03) doi/abs/10.1142/S0219024913500155