Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility

DOI10.1137/07070574XzbMath1201.35024MaRDI QIDQ3581061

Publication date: 16 August 2010

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

quadratic programming finite difference method American option pricing linear complementarity problem multigrid method penalty method stochastic volatility model Lagrange method

Mathematics Subject Classification ID

Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Theoretical approximation in context of PDEs (35A35) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Complexity and performance of numerical algorithms (65Y20)

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