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…
q-fin.PR2008★ 25 cited
A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
D. Lemmens, M. Wouters, J. Tempere +1
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain v…