COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY

DOI10.1142/S0219024907004202zbMath1137.91451MaRDI QIDQ5292283

Jari Toivanen, Samuli Ikonen

Publication date: 20 June 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

American option pricinglinear complementarity problemstochastic volatility modelcomponentwise splitting methodStrang symmetrization

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)

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Cites Work

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