A Second-Order Tridiagonal Method for American Options under Jump-Diffusion Models

DOI10.1137/100806552zbMath1227.91034OpenAlexW1980666017MaRDI QIDQ3103546

Younhee Lee, Yong-Hoon Kwon

Publication date: 7 December 2011

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: http://oasis.postech.ac.kr/handle/2014.oak/12934

zbMATH Keywords

finite difference methodAmerican option pricinglinear complementarity problempartial integro-differential equationoperator splitting method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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) Derivative securities (option pricing, hedging, etc.) (91G20) Integro-differential operators (47G20)

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