Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility (Q3581061)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility |
scientific article |
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Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility (English)
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16 August 2010
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American option pricing
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stochastic volatility model
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linear complementarity problem
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finite difference method
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quadratic programming
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multigrid method
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Lagrange method
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penalty method
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