A robust upwind difference scheme for pricing perpetual American put options under stochastic volatility

DOI10.1080/00207160.2012.658379zbMath1255.91432MaRDI QIDQ4903539

Zhongdi Cen, Aimin Xu, Anbo Le

Publication date: 22 January 2013

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2012.658379

zbMATH Keywords

linear complementarity problem; American option; stochastic volatility model; mixed derivatives; upwind difference scheme

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

65M15: Error bounds for initial value and initial-boundary value problems involving PDEs