COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY

DOI10.1142/S0219024907004202zbMath1137.91451MaRDI QIDQ5292283

Jari Toivanen, Samuli Ikonen

Publication date: 20 June 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

American option pricing; linear complementarity problem; stochastic volatility model; componentwise splitting method; Strang symmetrization

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

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

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