Pricing perpetual timer options under Heston Model by finite difference method: Theory and implementation

Pricing perpetual timer options under Heston Model by finite difference method: Theory and implementation

In this paper a finite difference method (FDM) is provided for pricing perpetual timer options under the Heston volatility model. Considering the degeneracy of the pricing equation, we first prove the existence and uniqueness of the solution of the pricing problem with a new notion of boundary condi...

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Bibliographic Details
Main Authors: Yaoyuan Zhang, Lihe Wang
Format: Article
Language:English
Published: AIMS Press 2023-04-01
Series:AIMS Mathematics
Subjects:
degenerate equation
volatility derivative
timer option
finite difference method
heston model
Online Access:https://www.aimspress.com/article/doi/10.3934/math.2023764?viewType=HTML

Internet

https://www.aimspress.com/article/doi/10.3934/math.2023764?viewType=HTML

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