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

A contour integral method recently proposed by Weideman [IMA J. Numer. Anal., 30 (2010), pp. 334350] for integrating semidiscrete advection-diffusion PDEs is improved and extended for application to some of the important equations of mathematical finance. Using estimates for the numerical range of the spatial operator, optimal contour parameters are derived theoretically and tested numerically. An improvement on the existing method is the use of ...