On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (Q907564): Difference between revisions
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Revision as of 02:33, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility |
scientific article |
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On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (English)
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25 January 2016
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Heston stochastic volatility model
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American option
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alternative direction implicit scheme
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linear complementarity problem
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projected method
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convergence
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