A kind of finite volume method for pricing American options

zbMATH Open1174.91445MaRDI QIDQ5453064FDOQ5453064

Authors: Peng Sun, Lei Zhang, Weidong Zhao 

Publication date: 4 April 2008

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zbMATH Keywords

operator splittingAmerican optionstochastic volatilityfinite volume

Mathematics Subject Classification ID

Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

Cited In (9)

• A finite volume element method for American options
• Numerical contour integral methods for free-boundary partial differential equations arising in American volatility options pricing
• An inverse finite element method for pricing American options
• An irregular grid approach for pricing high-dimensional American options
• A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
• Finite volume methods for the valuation of American options
• A finite volume method for pricing American option
• A finite volume-alternating direction implicit method for the valuation of American options under the Heston model
• A New Approach for American Option Pricing: The Dynamic Chebyshev Method

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