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- W4288000001 abstract "This paper considers the valuation of a European call option under the Heston stochastic volatility model. We present the asymptotic solution to the option pricing problem in powers of the volatility of variance. Then we introduce the artificial boundary method for solving the problem on a truncated domain, and derive several artificial boundary conditions (ABCs) on the artificial boundary of the bounded computational domain. A typical finite difference scheme and quadrature rule are used for the numerical solution of the reduced problem. Numerical experiments show that the proposed ABCs are able to improve the accuracy of the results and have a significant advantage over the widely-used boundary conditions by Heston in the original paper (Heston, 1993)." @default.
- W4288000001 created "2022-07-26" @default.
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- W4288000001 date "2019-12-02" @default.
- W4288000001 modified "2023-09-24" @default.
- W4288000001 title "Artificial boundary method for the solution of pricing European options under the Heston model" @default.
- W4288000001 hasPublicationYear "2019" @default.
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