Operator splitting methods for American option pricing

Applied Mathematics Letters

Volumn 17, Issue 7, 2004, Pages 809-814

  Ikonen, S ^a   Toivanen, J ^a  

^a UNIVERSITY OF JYVÄSKYLÄ   (Finland)

Author keywords

American option; Linear complementarity problem; Operator splitting method; Time discretization

Indexed keywords

BOUNDARY VALUE PROBLEMS; LINEAR SYSTEMS; MATHEMATICAL MODELS; NUMERICAL ANALYSIS; PARTIAL DIFFERENTIAL EQUATIONS; PROBLEM SOLVING;

AMERICAN OPTION; OPERATOR SPLITTING METHOD; TIME DISCRETIZATION;

FINITE DIFFERENCE METHOD;

EID: 7444219543     PISSN: 08939659     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.aml.2004.06.010     Document Type: Article

References (11)

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