Penalty methods for American options with stochastic volatility

Journal of Computational and Applied Mathematics

Volumn 91, Issue 2, 1998, Pages 199-218

  Zvan, R ^a   Forsyth, P A ^a   Vetzal, K R ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

American constraint; Finite element; PDE option pricing; Stochastic volatility

Indexed keywords

APPROXIMATION THEORY; CONSTRAINT THEORY; FINITE ELEMENT METHOD; ITERATIVE METHODS; MATHEMATICAL MODELS; NONLINEAR EQUATIONS; PROBLEM SOLVING; RANDOM PROCESSES;

APPROXIMATE NEWTON ITERATION; PARTIAL DIFFERENTIAL EQUATION (PDE) OPTION PRICING; STOCHASTIC VOLATILITY;

PARTIAL DIFFERENTIAL EQUATIONS;

EID: 0032482003     PISSN: 03770427     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-0427(98)00037-5     Document Type: Article

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