Operator splitting methods for American option pricing. (Q1767129)
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scientific article; zbMATH DE number 2140747
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Operator splitting methods for American option pricing. |
scientific article; zbMATH DE number 2140747 |
Statements
Operator splitting methods for American option pricing. (English)
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7 March 2005
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American option
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operator splitting method
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time discretization
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linear complementarity problem
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comparison of methods
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pricing
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Black-Scholes equation
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central finite-difference scheme
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Crank-Nicolson method
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backward differentiation formula
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numerical experiments
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successive overrelaxation
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