Pricing American options using LU decomposition
zbMATH Open1140.91046MaRDI QIDQ5453896FDOQ5453896
Authors: Samuli Ikonen, Jari Toivanen 
Publication date: 3 April 2008
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American optionlinear complementarity problemdirect methodtime discretizationLU decompositionBrennan and Schwartz algorithmElliott-Ockendon algorithm
Derivative securities (option pricing, hedging, etc.) (91G20) Complexity and performance of numerical algorithms (65Y20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Multigrid methods; domain decomposition for initial value and initial-boundary value problems involving PDEs (65M55) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85)
Cited In (9)
- PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME
- 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
- An iterative method for pricing American options under jump-diffusion models
- Valuation of American options by the gradient projection method
- Pricing of American put option under a jump diffusion process with stochastic volatility in an incomplete market
- 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
- Using spectral element method to solve variational inequalities with applications in finance
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