References - 2023.2 English

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Release Date
2023-12-20
Version
2023.2 English
[HESTON1993]Heston, “A closed-form solution for options with stochastic volatility with applications to bond and currency options”, Rev. Finan. Stud. Vol. 6 (1993)
[HOUT2010]Hout and Foulon, “ADI Finite Difference Schemes for Option Pricing in the Heston Model with correlation”, International Journal of Numerical Analysis and Modeling, Vol 7, Number 2 (2010).
[DOUGLAS1962]Douglas Jr., J, “Alternating direction methods for three space variables”, Numerische Mathematik, 4(1), pp41-63 (1962).