On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
From MaRDI portal
Publication:907564
Recommendations
- Projected triangular decomposition methods for pricing American options under stochastic volatility model
- On convergence of a semi-analytical method for American option pricing
- Convergence of the trinomial tree method for pricing European/American options
- American option pricing under stochastic volatility: an efficient numerical approach
- Efficient numerical methods for pricing American options under stochastic volatility
- COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY
- scientific article; zbMATH DE number 2104606
- An efficient ETD method for pricing American options under stochastic volatility with nonsmooth payoffs
- Convergence of the Critical Price In the Approximation of American Options
Cites work
- scientific article; zbMATH DE number 734901 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A theory of the term structure of interest rates
- ADI finite difference schemes for option pricing in the Heston model with correlation
- An alternating-direction implicit scheme for parabolic equations with mixed derivatives
- Computational Methods for Option Pricing
- Efficient numerical methods for pricing American options under stochastic volatility
- Multigrid Algorithms for the Solution of Linear Complementarity Problems Arising from Free Boundary Problems
- Multigrid for American option pricing with stochastic volatility
- On multigrid for linear complementarity problems with application to American-style options
- On the Numerical Solution of Heat Conduction Problems in Two and Three Space Variables
- Operator splitting methods for pricing American options under stochastic volatility
- Penalty methods for American options with stochastic volatility
- Projected triangular decomposition methods for pricing American options under stochastic volatility model
- Quadratic convergence for valuing American options using a penalty method
- The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
- The pricing of options and corporate liabilities
- Variational inequalities and the pricing of American options
Cited in
(7)- Convergence of accelerated modulus-based matrix splitting iteration methods for linear complementarity problem with an \(H_+\)-matrix
- Projected triangular decomposition methods for pricing American options under stochastic volatility model
- 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
- 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
- A fast numerical method to price American options under the Bates model
- A preconditioned general two-step modulus-based accelerated overrelaxation iteration method for nonlinear complementarity problems
This page was built for publication: On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q907564)
