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Date Issued: 2010
Subject: Acceleration principle (Economics)
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Search Results for Collection: Centre for Financial Markets Working Papers
Now showing items 1-1 of 1
1
Pricing European and American options under Heston's stochastic volatility model with accelerated explicit finite differencing methods
O'Sullivan, Conall
;
O'Sullivan, Stephen
(
University College Dublin. School of Business. Centre for Financial Markets
,
2010-06
)
We present an acceleration technique, effective for explicit finite difference schemes describing diffusive processes with nearly symmetric operators, called Super-Time- Stepping (STS). The technique is applied to the ...
Now showing items 1-1 of 1
1
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O'Sullivan, Conall (1)
O'Sullivan, Stephen (1)
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Acceleration principle (Economics) (1)
Financial instruments--Econometric models (1)
Options (Finance)--Mathematical models (1)
Date Issued
2010 (1)