Stability and error analysis of operator splitting methods for American options under the Black-Scholes model (Q2302378)
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English | Stability and error analysis of operator splitting methods for American options under the Black-Scholes model |
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Stability and error analysis of operator splitting methods for American options under the Black-Scholes model (English)
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26 February 2020
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The authors establish stability results for the operator splitting schemes based on the backward Euler and backward differentiation methods, as well as an error estimate for the scheme based on the former method. They also provide numerical experiments to demonstrate the convergence behavior of the two operator splitting methods. Applications include, but are not limited to, solving the linear complementarity problem for pricing American options.
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stability
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Black-Scholes
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American option
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operator splitting
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linear complementarity problem
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