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

From MaRDI portal
ReferenceBot (talk | contribs)
Changed an Item
Import241208061232 (talk | contribs)
Normalize DOI.
 
Property / DOI
 
Property / DOI: 10.1016/j.aml.2004.06.010 / rank
Normal rank
 
Property / DOI
 
Property / DOI: 10.1016/J.AML.2004.06.010 / rank
 
Normal rank

Latest revision as of 09:48, 11 December 2024

scientific article
Language Label Description Also known as
English
Operator splitting methods for American option pricing.
scientific article

    Statements

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

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references