TY - JOUR
T1 - Artificial Boundary Method for European Pricing Option Problem
AU - Li , Hongshan
AU - Huang , Zhongyi
JO - East Asian Journal on Applied Mathematics
VL - 4
SP - 746
EP - 773
PY - 2020
DA - 2020/08
SN - 10
DO - http://doi.org/10.4208/eajam.080320.270420
UR - https://global-sci.org/intro/article_detail/eajam/17956.html
KW - Option pricing, Heston model, asymptotic analysis, artificial boundary condition.
AB - <p style="text-align: justify;">This paper deals with the valuation of European call options under the Heston stochastic volatility model. An asymptotic solution of the European pricing option
problem in powers of the volatility of variance is derived. An artificial boundary method
for solving the problem on a truncated domain is considered and artificial boundary conditions are constructed. Numerical simulations show that these conditions allow to find
more accurate numerical solutions than for the widely-used Heston boundary condition.</p>