Penalty methods for American options with stochastic volatility

DOI10.1016/S0377-0427(98)00037-5zbMath0945.65005MaRDI QIDQ1298615

R. Zvan, Kenneth Vetzal, Peter A. I. Forsyth

Publication date: 22 August 1999

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic volatility finite element Newton iteration nonlinear penalty methods American constraint PDE option pricing preconditioned conjugate gradient-like method

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30)

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