Componentwise splitting methods for pricing American options under stochastic volatility

International Journal of Theoretical and Applied Finance

Volumn 10, Issue 2, 2007, Pages 331-361

  Ikonen, Samuli ^a   Toivanen, Jari ^b  

^a Nordea Markets ^*  (Finland)

^b UNIVERSITY OF JYVÄSKYLÄ   (Finland)

Author keywords

American option pricing; Componentwise splitting method; Linear complementarity problem; Stochastic volatility model; Strang symmetrization

Indexed keywords

EID: 33847361499     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024907004202     Document Type: Article

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