Haentjens, Tinne

in 't Hout, Karel

Volders, Kim

Abstract: The numerical valuation of American put options under the Heston stochastic volatility model is considered. We investigate in this paper the potential of combining the recent splitting approach of Ikonen & Toivanen (2004, 2009) with Alternating Direction Implicit schemes to obtain more efficient numerical method

ADI schemes with Ikonen-Toivanen splitting for pricing American put options in the Heston model

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