scientific article; zbMATH DE number 5257361

zbMath1140.91046MaRDI QIDQ5453896

Samuli Ikonen, Jari Toivanen

Publication date: 3 April 2008

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

linear complementarity problemdirect methodtime discretizationAmerican optionLU decompositionBrennan and Schwartz algorithmElliott-Ockendon algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Complexity and performance of numerical algorithms (65Y20)

Related Items (8)

Valuation of American options by the gradient projection method ⋮ A direct LU solver for pricing American bond options under Hull-White model ⋮ Using a meshless kernel-based method to solve the Black-Scholes variational inequality of American options ⋮ Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market ⋮ Using spectral element method to solve variational inequalities with applications in finance ⋮ An iterative method for pricing American options under jump-diffusion models ⋮ Pricing of American options, using the Brennan-Schwartz algorithm based on finite elements ⋮ A Componentwise Splitting Method for Pricing American Options Under the Bates Model

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