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

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)

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• Accelerated modulus-based symmetric successive overrelaxation iteration method for pricing two-asset American option
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