A contour integral method for the Black-Scholes and Heston equations

SIAM Journal on Scientific Computing

Volumn 33, Issue 2, 2011, Pages 763-785

  In't Hout, K J ^a   Weideman, J A C ^b  

^a UNIVERSITY OF ANTWERP   (Belgium)

^b STELLENBOSCH UNIVERSITY   (South Africa)

Author keywords

Black scholes equation; Financial option pricing; Heston equation; Krylov methods; Laplace transform; Matrix exponential; Numerical contour integration; Parallelism

Indexed keywords

ECONOMICS; FINANCIAL MARKETS; INTEGRAL EQUATIONS; LINEAR SYSTEMS; NUMERICAL METHODS;

BLACK-SCHOLES EQUATIONS; CONTOUR INTEGRALS; CONTOUR INTEGRATION; FINANCIAL OPTION PRICING; HESTON EQUATION; KRYLOV METHOD; MATRIX EXPONENTIALS; NUMERICAL CONTOUR INTEGRATION; OPTIONS PRICING; PARALLELISM;

LAPLACE TRANSFORMS;

EID: 79957621114     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/090776081     Document Type: Article

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