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A finite volume-alternating direction implicit method for the valuation of American options under the Heston model.

Jiacheng CaiHongtao Yang
Published in: Int. J. Comput. Math. (2020)
Keyphrases
  • cost function
  • high order
  • probabilistic model
  • linear model
  • em algorithm
  • optimization method
  • linear models
  • objective function
  • pairwise
  • energy function
  • feature selection
  • convergence rate
  • piece wise