On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility

DOI10.1016/j.amc.2013.08.022zbMath1329.91145OpenAlexW2011011423MaRDI QIDQ907564

Ning Zheng, Jun-Feng Yin

Publication date: 25 January 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2013.08.022

zbMATH Keywords

convergencelinear complementarity problemAmerican optionHeston stochastic volatility modelalternative direction implicit schemeprojected method

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)

Related Items (5)

A fast numerical method to price American options under the Bates model ⋮ Convergence of accelerated modulus-based matrix splitting iteration methods for linear complementarity problem with an \(H_+\)-matrix ⋮ A preconditioned general two-step modulus-based accelerated overrelaxation iteration method for nonlinear complementarity problems ⋮ 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 ⋮ A preconditioned general two-step modulus-based matrix splitting iteration method for linear complementarity problems of \(H_+\)-matrices

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