Parabolic ADI Methods for Pricing American Options on Two Stocks

DOI10.1287/moor.27.1.121.341zbMath1082.60515OpenAlexW1990138574MaRDI QIDQ5704067

Antonino Zanette, Stéphane Villeneuve

Publication date: 11 November 2005

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.27.1.121.341

zbMATH Keywords

alternating direction implicit methodviscosity solutions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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