A finite volume-alternating direction implicit method for the valuation of American options under the Heston model

Cai Jiacheng; Yang Hongtao

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A finite volume-alternating direction implicit method for the valuation of American options under the Heston model

机译：用于在Heston模型下估值美国选项的有限音量交替方向方法

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摘要

A finite volume-alternating direction implicit method is proposed for numerical valuation of the American options under the Heston model. It is based on decoupling correlated stock price process and volatility process so that corresponding partial differential operator does not contain the mixed partial derivative term. Hence, the proposed method is numerically simple and fast. Numerical results are presented to examine the accuracy of the proposed method and to compare it with the others.

机译：提出了一个有限的体积交替方向隐式方法，用于在Heston模型下的美国选项的数值估值。它是基于解耦相关股票价格过程和波动性过程，使得相应的局部差分操作员不包含混合部分衍生术语。因此，所提出的方法是数值简单且快速的。提出了数值结果来检查所提出的方法的准确性并与其他方法进行比较。

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来源
《International journal of computer mathematics》 |2020年第4期|700-724|共25页
作者
Cai Jiacheng; Yang Hongtao;
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作者单位

Salisbury Univ Dept Math & Comp Sci Salisbury MD USA;

Univ Nevada Dept Math Sci Las Vegas NV 89154 USA;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Options valuation; finite volume method; alternating direction implicit method; Heston model;

机译：选项估值;有限体积法;交替方向隐式方法;Heston模型;

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1. Pricing european and american options in the Heston model with accelerated explicit finite differencing methods [J] . OSullivan C., OSullivan S. International journal of theoretical and applied finance . 2013,第3期

机译：使用加速的显式有限差分方法对Heston模型中的欧美期权定价
2. An Analytic Approximation for Valuation of the American Option Under the Heston Model in Two Regimes [J] . Jeon Junkee, Huh Jeonggyu, Park Kyunghyun Computational economics . 2020,第2期

机译：两种制度哈斯顿模型中美国选项估值的分析近似
3. Pricing European and American options under Heston model using discontinuous Galerkin finite elements [J] . Sinem Kozpinar, Murat Uzunca, Buelent Karasoezen Mathematics and computers in simulation . 2020,第Nova期

机译：使用不连续的Galerkin有限元素在Heston模型下定价欧美选择
4. Modeling RF Signal Propagation Along On-Chip Interconnects and the Effect of Substrate Doping with the Alternating-Direction-Implicit Finite-Difference Time-Domain (ADI-FDTD) Method [C] . Yang, B., Shao, . 2006

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5. A front-fixing finite element method for the valuation of American options. [D] . Holmes, Anthony D. 2010

机译：一种用于美式期权估值的前置有限元方法。
6. A fully implicit finite element method for bidomain models of cardiac electromechanics [O] . Hüsnü Dal, Serdar Göktepe, Michael Kaliske, -1

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7. A Fourier-Based Valuation Method for Bermudan and Barrier Options under Heston’s Model [O] . Fang, F., Oosterlee, C.W. 2011

机译：Heston模型下基于傅立叶的百慕大和障碍期权估值方法

A finite volume-alternating direction implicit method for the valuation of American options under the Heston model

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