Parallel-in-Time Iterative Methods for Pricing American Options

MaRDI QIDQ6728609arXivFDO

Authors Xian-Ming Gu, Jun Liu, Cornelis W. Oosterlee

Publication date 2024

Published in arXiv

Mathematics Subject Classification ID

Preconditioners for iterative methods (65F08) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

arXiv classification

math.NA

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