Operator splitting methods for pricing American options under stochastic volatility

DOI10.1007/s00211-009-0227-5zbMath1204.91126MaRDI QIDQ841111

Samuli Ikonen, Jari Toivanen

Publication date: 14 September 2009

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00211-009-0227-5

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

35K85: Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

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

65K15: Numerical methods for variational inequalities and related problems

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Uses Software

• Wesseling

Cites Work

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