On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
DOI10.1016/J.AMC.2013.08.022zbMATH Open1329.91145OpenAlexW2011011423MaRDI QIDQ907564FDOQ907564
Authors: Ning Zheng, Jun-Feng Yin 
Publication date: 25 January 2016
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2013.08.022
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convergenceAmerican optionlinear complementarity problemHeston stochastic volatility modelalternative direction implicit schemeprojected method
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
- The pricing of options and corporate liabilities
- A theory of the term structure of interest rates
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
- ADI finite difference schemes for option pricing in the Heston model with correlation
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- Variational inequalities and the pricing of American options
- Quadratic convergence for valuing American options using a penalty method
- The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
- Operator splitting methods for pricing American options under stochastic volatility
- Multigrid for American option pricing with stochastic volatility
- Computational Methods for Option Pricing
- Penalty methods for American options with stochastic volatility
- Efficient numerical methods for pricing American options under stochastic volatility
- On multigrid for linear complementarity problems with application to American-style options
- An alternating-direction implicit scheme for parabolic equations with mixed derivatives
- Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
- Projected triangular decomposition methods for pricing American options under stochastic volatility model
Cited In (7)
- A preconditioned general two-step modulus-based matrix splitting iteration method for linear complementarity problems of \(H_+\)-matrices
- Efficient numerical methods for pricing American options under stochastic volatility
- Convergence of accelerated modulus-based matrix splitting iteration methods for linear complementarity problem with an \(H_+\)-matrix
- A preconditioned general two-step modulus-based accelerated overrelaxation iteration method for nonlinear complementarity problems
- Modulus-based successive overrelaxation iteration method for pricing American options with the two-asset Black-Scholes and Heston's models based on finite volume discretization
- Projected triangular decomposition methods for pricing American options under stochastic volatility model
- A fast numerical method to price American options under the Bates model
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