کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
4628559 | 1631831 | 2013 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility](/preview/png/4628559.png)
چکیده انگلیسی
Numerical pricing of American options with Heston stochastic volatility model is considered. The complementarity problem with a two-dimensional parabolic partial differential operator is discretized by the Craig-Sneyd alternative direction implicit scheme, and the resulted linear complementarity problems at each time step are solved by the projected triangular decomposition methods, which are constructed as an extension of the classical Brennan Schwartz algorithm. The convergence theorems are established when the system matrix is an M-matrix. Numerical experiments show that the proposed methods with alternative direction implicit schemes are efficient and outperform the classical PSOR method and operator splitting method.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 223, 15 October 2013, Pages 411-422
Journal: Applied Mathematics and Computation - Volume 223, 15 October 2013, Pages 411-422
نویسندگان
Ning Zheng, Jun-Feng Yin,