Pricing American options using LU decomposition
American optionBrennan and Schwartz algorithmdirect methodElliott-Ockendon algorithmlinear complementarity problemLU decompositiontime discretization
Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Complexity and performance of numerical algorithms (65Y20) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
- Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements
- Pricing American options using a space-time adaptive finite difference method
- A finite volume method for pricing American option
- Résolution Numérique De Problèmes De Complémentarité Linéaire Et Évaluation D'Options Américaines
- A robust finite difference scheme for pricing American put options with singularity-separating method
- Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options
- Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
- Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements
- Valuation of American options by the gradient projection method
- A direct LU solver for pricing American bond options under Hull-White model
- PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME
- Using spectral element method to solve variational inequalities with applications in finance
- A componentwise splitting method for pricing American options under the Bates model
- An iterative method for pricing American options under jump-diffusion models
- A note on the numerical approximation of Greeks for American-style options
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