On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
type: Item
instance of: scholarly article
title: On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
zbMATH Open document ID: 1329.91145
author: Ning Zheng
author: Jun-Feng Yin
published in: Applied Mathematics and Computation
publication date: 2016-01-25T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 65M06
zbMATH DE Number: 6535392
zbMATH Keywords: Heston stochastic volatility model
zbMATH Keywords: American option
zbMATH Keywords: alternative direction implicit scheme
zbMATH Keywords: linear complementarity problem
zbMATH Keywords: projected method
zbMATH Keywords: convergence
MaRDI profile type: Publication
full work available at URL: j.amc.2013.08.022
OpenAlex ID: W2011011423
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cites work: Q5398776
DOI: 10.1016/J.AMC.2013.08.022
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description: scientific article; zbMATH DE number 6535392