Operator splitting methods for American option pricing.
type: Item
instance of: scholarly article
title: Operator splitting methods for American option pricing.
zbMATH Open document ID: 1063.65081
author: Jari Toivanen
author: Samuli Ikonen
published in: Applied Mathematics Letters
publication date: 2005-03-07T00:00:00Z
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 90C33
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 35K15
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
zbMATH DE Number: 2140747
zbMATH Keywords: American option
zbMATH Keywords: operator splitting method
zbMATH Keywords: time discretization
zbMATH Keywords: linear complementarity problem
zbMATH Keywords: comparison of methods
zbMATH Keywords: pricing
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: central finite-difference scheme
zbMATH Keywords: Crank-Nicolson method
zbMATH Keywords: backward differentiation formula
zbMATH Keywords: numerical experiments
zbMATH Keywords: successive overrelaxation
describes a project that uses: RODAS
MaRDI profile type: Publication
full work available at URL: j.aml.2004.06.010
OpenAlex ID: W2084083490
cites work: The pricing of options and corporate liabilities
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cites work: Q4426677
cites work: Far field boundary conditions for Black-Scholes equations
cites work: On multigrid for linear complementarity problems with application to American-style options
DOI: 10.1016/J.AML.2004.06.010
description: scientific article; zbMATH DE number 2140747