Semi-implicit FEM for the valuation of American options under the Heston model
Qi Zhang, Haiming Song, Yongle Hao
Topics & Concepts
Valuation (finance)Finite element methodApplied mathematicsMathematicsNonlinear systemHeston modelPartial differential equationValuation of optionsNumerical analysisMatrix (chemical analysis)Mathematical optimizationMathematical analysisStochastic volatilityEconometricsEconomicsMaterials scienceComposite materialFinanceThermodynamicsPhysicsVolatility (finance)Quantum mechanicsSABR volatility modelDifferential Equations and Numerical MethodsStochastic processes and financial applicationsAdvanced Mathematical Modeling in Engineering