Lattice Boltzmann method for the linear complementarity problem arising from American option pricing

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic stochastic general equilibrium theory (91B51)

Cites Work

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The Pricing of Options and Corporate Liabilities
A lattice Boltzmann model for the Fokker-Planck equation
On power penalty methods for linear complementarity problems arising from American option pricing
A fixed point method for the linear complementarity problem arising from American option pricing
Lattice Boltzmann simulation of some nonlinear convection-diffusion equations
A HODIE finite difference scheme for pricing American options
A numerical analysis of variational valuation techniques for derivative securities
Pricing American options with uncertain volatility through stochastic linear complementarity models
A novel lattice Boltzmann model for the coupled viscous Burgers' equations
A new scheme for source term in LBGK model for convection-diffusion equation
A novel lattice Boltzmann model for the Poisson equation
Penalty methods for American options with stochastic volatility
Derivative securities and difference methods.
Stability analysis of lattice Boltzmann methods
Lattice-gas cellular automata and lattice Boltzmann models. An introduction
General propagation lattice Boltzmann model for a variable-coefficient compound KdV-Burgers equation
Pricing European and American options with two stochastic factors: a highly efficient radial basis function approach
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
Semi-implicit FEM for the valuation of American options under the Heston model
An efficient finite element method for pricing American multi-asset put options
An efficient numerical method for the valuation of American multi-asset options
A modified regularized lattice Boltzmann model for convection-diffusion equation with a source term
Power penalty method for a linear complementarity problem arising from American option valuation
Lattice Boltzmann method for the generalized Black-Scholes equation
A lattice Boltzmann model based on Cole-Hopf transformation for \(N\)-dimensional coupled Burgers' equations
LATTICE BOLTZMANN METHOD FOR FLUID FLOWS
The Mathematics of Financial Derivatives
Radial-basis-function-based finite difference operator splitting method for pricing American options
Lattice Boltzmann Model for Time-Fractional Nonlinear Wave Equations
Front-fixing FEMs for the pricing of American options based on a PML technique
Projection and Contraction Method for the Valuation of American Options

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