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19992008
most citedA path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models

25 citations · 35 across the 3 of their papers we have counts for

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math.NA2008

ADI finite difference schemes for option pricing in the Heston model with correlation

K. J. in 't Hout, S. Foulon

This paper deals with the numerical solution of the Heston partial differential equation that plays an important role in financial option pricing, Heston (1993, Rev. Finan. Stud. 6…