scientific article; zbMATH DE number 6831341

DOI10.16783/J.CNKI.NWNUZ.2017.03.002MaRDI QIDQ3131833zbMATH OpenFDO

Authors Xiao-Ting Gan, Ying Yang, Sheng Liu

Publication date 29 January 2018

Full work available at URL https://doi.org/10.16783/J.CNKI.NWNUZ.2017.03.002

zbMATH Keywords

American optionfinite element methodlinear complementarity problemsmodulus-based successive overrelaxationprojected successive overrelaxation

Mathematics Subject Classification ID

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) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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