Operator splitting methods for American options with stochastic volatility

ECCOMAS 2004 - European Congress on Computational Methods in Applied Sciences and Engineering

Volumn , Issue , 2004, Pages

  Ikonen, S ^a   Toivanen, J ^a  

^a UNIVERSITY OF JYVÄSKYLÄ   (Finland)

Author keywords

American option pricing; Operator splitting methods; Stochastic volatility models; Time discretization

Indexed keywords

AMERICAN OPTIONS; EFFICIENT NUMERICAL METHOD; EFFICIENT SOLUTION PROCEDURE; OPERATOR SPLITTING METHOD; PARABOLIC PARTIAL DIFFERENTIAL EQUATIONS; STOCHASTIC VOLATILITY MODEL; SYSTEMS OF LINEAR EQUATIONS; TIME DISCRETIZATION;

COMPUTATIONAL METHODS; ECONOMIC ANALYSIS; INVESTMENTS; LINEAR EQUATIONS; NON NEWTONIAN FLOW; PARTIAL DIFFERENTIAL EQUATIONS;

NUMERICAL METHODS;

EID: 84893464671     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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