COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY (Q5292283)
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scientific article; zbMATH DE number 5165800
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY |
scientific article; zbMATH DE number 5165800 |
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COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY (English)
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20 June 2007
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American option pricing
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stochastic volatility model
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linear complementarity problem
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componentwise splitting method
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Strang symmetrization
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