Operator splitting methods for pricing American options under stochastic volatility

DOI10.1007/s00211-009-0227-5zbMath1204.91126OpenAlexW2051583875MaRDI QIDQ841111

Publication date: 14 September 2009

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-009-0227-5

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for variational inequalities and related problems (65K15)

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Wesseling

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