Penalty methods for American options with stochastic volatility (Q1298615): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 02:51, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Penalty methods for American options with stochastic volatility |
scientific article |
Statements
Penalty methods for American options with stochastic volatility (English)
0 references
22 August 1999
0 references
penalty methods
0 references
PDE option pricing
0 references
finite element
0 references
American constraint
0 references
stochastic volatility
0 references
nonlinear
0 references
Newton iteration
0 references
preconditioned conjugate gradient-like method
0 references
