Operator splitting methods for American option pricing. (Q1767129): Difference between revisions

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Revision as of 18:20, 7 June 2024

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Operator splitting methods for American option pricing.
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    Operator splitting methods for American option pricing. (English)
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    7 March 2005
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    American option
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    operator splitting method
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    time discretization
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    linear complementarity problem
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    comparison of methods
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    pricing
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    Black-Scholes equation
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    central finite-difference scheme
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    Crank-Nicolson method
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    backward differentiation formula
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    numerical experiments
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    successive overrelaxation
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