Stability and Error Analysis of Operator Splitting Methods for American Options Under the Black–Scholes Model

2020 ◽  
Vol 82 (2) ◽  
Author(s):  
Feng Chen ◽  
Jie Shen
Keyword(s):  
Error Analysis ◽  
American Options ◽  
Operator Splitting ◽  
Splitting Methods ◽  
Operator Splitting Methods ◽  
Black Scholes Model ◽  
Black Scholes ◽  
Stability And Error Analysis

scholarly journals Chordal decomposition in operator-splitting methods for sparse semidefinite programs

2019 ◽  
Vol 180 (1-2) ◽  
pp. 489-532 ◽  
Author(s):  
Yang Zheng ◽  
Giovanni Fantuzzi ◽  
Antonis Papachristodoulou ◽  
Paul Goulart ◽  
Andrew Wynn
Keyword(s):  
Operator Splitting ◽  
Splitting Methods ◽  
Semidefinite Programs ◽  
Operator Splitting Methods
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