An ETD Method for American Options under the Heston Model

作     者：Rafael Company Vera N.Egorova Lucas Jódar Ferran Fuster Valls 

作者机构：Instituto de Matemática MultidisciplinarUniversitat Politècnica de ValènciaValencia46022Spain Depto.de Matemática Aplicada y Ciencias de la ComputaciónUniversidad de CantabriaSantander39005Spain Nfoque Advisory ServicesMadrid28001Spain 

出 版 物：《Computer Modeling in Engineering & Sciences》 (工程与科学中的计算机建模（英文）)

年 卷 期：2020年第124卷第8期

页      面：493-508页

核心收录：

学科分类：07[理学] 0835[工学-软件工程] 0811[工学-控制科学与工程] 0701[理学-数学] 0812[工学-计算机科学与技术（可授工学、理学学位）] 070101[理学-基础数学] 

基　　金：This work has been supported by the Spanish Ministerio de Economía Industria y Competitividad(MINECO) the Agencia Estatal de Investigación(AEI)and Fondo Europeo de Desarrollo Regional(FEDER UE)grant MTM2017-89664-P 

主　　题：Heston model American option pricing exponential time differencing semi-discretization 

摘      要：A numerical method for American options pricing on assets under the Heston stochastic volatility model is developed.A preliminary transformation is applied to remove the mixed derivative term avoiding known numerical drawbacks and reducing computational *** boundary is treated by the penalty *** nonlinear partial differential equation is solved numerically by using the method of *** full discretization the exponential time differencing method is *** analysis establishes the stability and positivity of the proposed *** numerical convergence behaviour and effectiveness are investigated in extensive numerical experiments.