MODULUS-BASED SUCCESSIVE OVERRELAXATION METHOD FOR PRICING AMERICAN OPTIONS

DOI10.14317/jami.2013.769zbMath1274.65248OpenAlexW2149108850MaRDI QIDQ2855158

Ning Zheng, Jun-Feng Yin

Publication date: 24 October 2013

Published in: Journal of applied mathematics & informatics (Search for Journal in Brave)

Full work available at URL: http://www.kcam.biz./contents/table_contents_view.php?idx=1468&Len

zbMATH Keywords

linear complementarity problemBlack-Scholes modelAmerican option\(H_+\)-matrixmodulus-based successive overrelaxationprojected successive overrelaxaion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Complexity and performance of numerical algorithms (65Y20)

Related Items (3)

Finite Volume Method for Pricing European and American Options under Jump-Diffusion Models ⋮ A modified modulus-based multigrid method for linear complementarity problems arising from free boundary problems ⋮ 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

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