Parabolic ADI Methods for Pricing American Options on Two Stocks

DOI10.1287/MOOR.27.1.121.341zbMath1082.60515OpenAlexW1990138574MaRDI QIDQ5704067

Antonino Zanette, Stéphane Villeneuve

Publication date: 11 November 2005

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.27.1.121.341

zbMATH Keywords

alternating direction implicit methodviscosity solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (8)

COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY ⋮ Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach ⋮ Multi-asset American options and parallel quantization ⋮ An alternative method for analytical solutions of two-dimensional Black-Scholes-Merton equation ⋮ First-Order Schemes in the Numerical Quantization Method ⋮ ADI Schemes for Pricing American Options under the Heston Model ⋮ A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS ⋮ Finite volume methods for the valuation of American options

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