Penalty methods for American options with stochastic volatility (Q1298615)
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scientific article; zbMATH DE number 1326405
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Penalty methods for American options with stochastic volatility |
scientific article; zbMATH DE number 1326405 |
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Penalty methods for American options with stochastic volatility (English)
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22 August 1999
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penalty methods
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PDE option pricing
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finite element
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American constraint
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stochastic volatility
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nonlinear
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Newton iteration
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preconditioned conjugate gradient-like method
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