# Artificial boundary method for the solution of pricing European options under the Heston model

@article{Li2019ArtificialBM, title={Artificial boundary method for the solution of pricing European options under the Heston model}, author={Hong-shan Li and Zhongyi Huang}, journal={ArXiv}, year={2019}, volume={abs/1912.00691} }

This paper considers the valuation of a European call option under the Heston stochastic volatility model. We present the asymptotic solution to the option pricing problem in powers of the volatility of variance. Then we introduce the artificial boundary method for solving the problem on a truncated domain, and derive several artificial boundary conditions (ABCs) on the artificial boundary of the bounded computational domain. A typical finite difference scheme and quadrature rule are used for… CONTINUE READING

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