ADI finite difference schemes for option pricing in the Heston model with correlation

TitleADI finite difference schemes for option pricing in the Heston model with correlation
Publication TypeJournal Article
Year of Publication2010
Authorsin't Hout KJ, Foulon S
JournalInternational Journal of Numerical Analysis and Modeling
Volume7
Issue2
Pagination303-320
URLhttp://hdl.handle.net/10067/797320151162165141