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Representation and Numerical Approximation of American Option Prices under Heston

In: The Numerical Solution of the American Option Pricing Problem Finite Difference and Transform Approaches

Author

Listed:
  • Carl Chiarella
  • Boda Kang
  • Gunter H. Meyer

Abstract

The following sections are included:IntroductionProblem Statement — The Heston ModelFinding the Density Function using Integral TransformsSolution for the American Call OptionNumerical Scheme for the Free SurfaceConclusionAppendixProof of Proposition 5.8 — The European Option PriceEvaluation of Common Integral Terms in the Heston ModelCalculation of the DeltasProof of Proposition 5.12Moments for the Heston ModelMethod of Lines for the Heston PDE

Suggested Citation

  • Carl Chiarella & Boda Kang & Gunter H. Meyer, 2014. "Representation and Numerical Approximation of American Option Prices under Heston," World Scientific Book Chapters, in: The Numerical Solution of the American Option Pricing Problem Finite Difference and Transform Approaches, chapter 5, pages 93-139, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814452625_0005
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