Efficient numerical methods for pricing American options under stochastic volatility
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Publication:5438239
DOI10.1002/num.20239zbMath1152.91516OpenAlexW2003360807MaRDI QIDQ5438239
Publication date: 23 January 2008
Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/num.20239
finite difference methodAmerican option pricinglinear complementarity problemmultigrid methodpenalty methodoperator splitting methodstochastic volatility model
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65M99)
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