On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (Q907564)
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scientific article; zbMATH DE number 6535392
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| English | On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility |
scientific article; zbMATH DE number 6535392 |
Statements
On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (English)
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25 January 2016
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Heston stochastic volatility model
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American option
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alternative direction implicit scheme
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linear complementarity problem
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projected method
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convergence
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0.96733224
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0.8951598
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0.89187026
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0.88989425
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0.8887382
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0.8831506
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0.88212615
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