Search Results - "Ikonen, Samuli"
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1
Operator splitting methods for pricing American options under stochastic volatility
Published in Numerische Mathematik (01-08-2009)“…We consider the numerical pricing of American options under Heston’s stochastic volatility model. The price is given by a linear complementarity problem with a…”
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Journal Article -
2
Efficient numerical methods for pricing American options under stochastic volatility
Published in Numerical methods for partial differential equations (01-01-2008)“…Five numerical methods for pricing American put options under Heston's stochastic volatility model are described and compared. The option prices are obtained…”
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Journal Article