Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization

DOI10.11650/tjm/210803zbMath1484.91516OpenAlexW3197704575WikidataQ113267894 ScholiaQ113267894MaRDI QIDQ2078260

Xiao-Ting Gan, Dengguo Xu, Xiao-Lin Chen

Publication date: 28 February 2022

Published in: Taiwanese Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.11650/tjm/210803

zbMATH Keywords

option pricing, finite volume methods, Heston's model, Block-Scholes, American options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Iterative numerical methods for linear systems (65F10) PDEs with randomness, stochastic partial differential equations (35R60) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)

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