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Cai, Jiacheng, Yang, Hongtao (2020) A finite volume–alternating direction implicit method for the valuation of American options under the Heston model. International Journal of Computer Mathematics, 97. 700-724 doi:10.1080/00207160.2019.1585826

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Reference TypeJournal (article/letter/editorial)
TitleA finite volume–alternating direction implicit method for the valuation of American options under the Heston model
JournalInternational Journal of Computer Mathematics
AuthorsCai, JiachengAuthor
Yang, HongtaoAuthor
Year2020 (March 3)Volume97
PublisherInforma UK Limited
DOIdoi:10.1080/00207160.2019.1585826Search in ResearchGate
Generate Citation Formats
Mindat Ref. ID6647574Long-form Identifiermindat:1:5:6647574:5
GUID0
Full ReferenceCai, Jiacheng, Yang, Hongtao (2020) A finite volume–alternating direction implicit method for the valuation of American options under the Heston model. International Journal of Computer Mathematics, 97. 700-724 doi:10.1080/00207160.2019.1585826
Plain TextCai, Jiacheng, Yang, Hongtao (2020) A finite volume–alternating direction implicit method for the valuation of American options under the Heston model. International Journal of Computer Mathematics, 97. 700-724 doi:10.1080/00207160.2019.1585826
In(n.d.) International Journal of Computer Mathematics Vol. 97. Informa UK Limited

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Holmes, Anthony D., Yang, Hongtao, Zhang, Shuhua (2012) A front-fixing finite element method for the valuation of American options with regime switching. International Journal of Computer Mathematics, 89. 1094-1111 doi:10.1080/00207160.2012.663911
Haentjens, Tinne (2013) Efficient and stable numerical solution of the Heston–Cox–Ingersoll–Ross partial differential equation by alternating direction implicit finite difference schemes. International Journal of Computer Mathematics, 90. 2409-2430 doi:10.1080/00207160.2013.777710
Wyns, Maarten, Du Toit, Jacques (2017) A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models. International Journal of Computer Mathematics, 94. 2239-2267 doi:10.1080/00207160.2017.1297805
Perotti, Leonardo, Grzelak, Lech A. (2024) On pricing of discrete Asian and Lookback options under the Heston model. International Journal of Computer Mathematics, 101 (8). doi:10.1080/00207160.2024.2363467
Holmes, Anthony D., Yang, Hongtao (2008) A Front-Fixing Finite Element Method for the Valuation of American Options. SIAM Journal on Scientific Computing, 30. 2158-2180 doi:10.1137/070694442
Ran, Yu-Hong, Yuan, Li (2011) Modified alternating direction-implicit iteration method for linear systems from the incompressible Navier–Stokes equations. International Journal of Computer Mathematics, 88. 3762-3779 doi:10.1080/00207160.2011.622375
Chawla, M. M., Evans, D. J. (2005) High-accuracy finite-difference methods for the valuation of options. International Journal of Computer Mathematics, 82. 1157-1165 doi:10.1080/00207160500113082
Dehghan, M. (1999) Alternating direction implicit methods for two-dimensional diffusion with a non-local boundary condition. International Journal of Computer Mathematics, 72. 349-366 doi:10.1080/00207169908804858
Mezzan, Youness; Tber, Moulay Hicham (2025) A mixed finite element method for pricing American options and Greeks in the Heston model. Computers & Mathematics with Applications, 193. doi:10.1016/j.camwa.2025.05.023
Clevenhaus, Anna, Totzeck, Claudia, Ehrhardt, Matthias (2024) A gradient-based calibration method for the Heston model. International Journal of Computer Mathematics, 101 (9). doi:10.1080/00207160.2024.2353189
B., Mrityunjoy, Natesan, S., Sendur, A. (2023) Alternating direction implicit method for singularly perturbed 2D parabolic convection–diffusion–reaction problem with two small parameters. International Journal of Computer Mathematics, 100 (2) 253-282 doi:10.1080/00207160.2022.2114077
 
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