On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (Q907564): Difference between revisions
From MaRDI portal
Latest revision as of 08:46, 11 July 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 |
Statements
On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (English)
0 references
25 January 2016
0 references
Heston stochastic volatility model
0 references
American option
0 references
alternative direction implicit scheme
0 references
linear complementarity problem
0 references
projected method
0 references
convergence
0 references
0 references
0 references
0 references
0 references
