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q-fin.CP2013★ 45 cited
ADI schemes for pricing American options under the Heston model
Tinne Haentjens, Karel in 't Hout
In this paper a simple, effective adaptation of Alternating Direction Implicit (ADI) time discretization schemes is proposed for the numerical pricing of American-style options und…
q-fin.CP2010★ 5 cited
Stability of central finite difference schemes for the Heston PDE
K. J. in 't Hout, K. Volders
This paper deals with stability in the numerical solution of the prominent Heston partial differential equation from mathematical finance. We study the well-known central second-or…