Modulus methods for pricing American bond option based on finite difference discretization

DOI10.13413/J.CNKI.JDXBLXB.2018.04.12MaRDI QIDQ5381659zbMATH OpenFDO

Authors Xiao-Ting Gan, Dengguo Xu, Quan-Yu Dou

Publication date 21 June 2019

Full work available at URL https://doi.org/10.13413/J.CNKI.JDXBLXB.2018.04.12

zbMATH Keywords

American bond option modelfinite difference schemelinear complementarity problemmodulus-based matrix splitting iteration method

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• scientific article; zbMATH DE number 6831341
• Modulus-based successive overrelaxation method for pricing American options
• Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
• A quadratic finite volume method for pricing American options
• Pricing American bond options using a penalty method

Cited in

(4)

• Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
• Modulus-based successive overrelaxation method for pricing American options
• scientific article; zbMATH DE number 6831341 (Why is no real title available?)
• A direct LU solver for pricing American bond options under Hull-White model

This page was built for publication: Modulus methods for pricing American bond option based on finite difference discretization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5381659)