scientific article; zbMATH DE number 6831341

DOI10.16783/J.CNKI.NWNUZ.2017.03.002zbMATH Open1399.65250MaRDI QIDQ3131833FDOQ3131833

Authors: Xiao-Ting Gan, Ying Yang, Sheng Liu 

Publication date: 29 January 2018

Title of this publication is not available (Why is that?)

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zbMATH Keywords

American optionfinite element methodlinear complementarity problemsprojected successive overrelaxationmodulus-based successive overrelaxation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Iterative numerical methods for linear systems (65F10) 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) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Cited In (6)

• A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model
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• Accelerated modulus-based symmetric successive overrelaxation iteration method for pricing two-asset American option
• Modulus methods for pricing American bond option based on finite difference discretization
• 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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