Operator splitting methods for American option pricing

Applied Mathematics Letters ◽

10.1016/j.aml.2004.06.010 ◽

2004 ◽

Vol 17 (7) ◽

pp. 809-814 ◽

Author(s):

S. Ikonen ◽

J. Toivanen

Keyword(s):

Option Pricing ◽

Operator Splitting ◽

American Option ◽

Splitting Methods ◽

American Option Pricing ◽

Operator Splitting Methods

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A comparison study of ADI and operator splitting methods on option pricing models

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2013.01.008 ◽

2013 ◽

Vol 247 ◽

pp. 162-171 ◽

Author(s):

Darae Jeong ◽

Junseok Kim

Keyword(s):

Option Pricing ◽

Operator Splitting ◽

Splitting Methods ◽

Comparison Study ◽

Pricing Models ◽

Operator Splitting Methods

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Numerical analysis of two operator splitting methods for an hyperbolic system of conservation laws with stiff relaxation

International Journal of Multiphase Flow ◽

10.1016/s0301-9322(97)88233-x ◽

1996 ◽

Vol 22 ◽

pp. 106

Author(s):

E Burman

Keyword(s):

Numerical Analysis ◽

Conservation Laws ◽

Hyperbolic System ◽

Operator Splitting ◽

Splitting Methods ◽

Operator Splitting Methods ◽

System Of Conservation Laws ◽

Stiff Relaxation

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A new stochastic gradient estimator for American option pricing

2009 European Control Conference (ECC) ◽

10.23919/ecc.2009.7074567 ◽

2009 ◽

Author(s):

Yongqiang Wang ◽

Michael C. Fu ◽

Steven I. Marcus

Keyword(s):

Option Pricing ◽

American Option ◽

Stochastic Gradient ◽

American Option Pricing

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American Option Pricing Under GARCH With Non-Normal Innovations

SSRN Electronic Journal ◽

10.2139/ssrn.3166295 ◽

2017 ◽

Author(s):

Jean-Guy Simonato

Keyword(s):

Option Pricing ◽

American Option ◽

American Option Pricing

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Stabilization theory of iterative operator-splitting methods

International Journal of Computer Mathematics ◽

10.1080/00207160802524762 ◽

2010 ◽

Vol 87 (8) ◽

pp. 1857-1871 ◽

Author(s):

Jürgen Geiser

Keyword(s):

Operator Splitting ◽

Splitting Methods ◽

Operator Splitting Methods

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American option pricing under two stochastic volatility processes

Applied Mathematics and Computation ◽

10.1016/j.amc.2013.08.047 ◽

2013 ◽

Vol 224 ◽

pp. 283-310 ◽

Author(s):

Carl Chiarella ◽

Jonathan Ziveyi

Keyword(s):

Option Pricing ◽

Stochastic Volatility ◽

American Option ◽

American Option Pricing

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High-Order Operator-Splitting Methods for the Bidomain and Monodomain Models

SEMA SIMAI Springer Series - Mathematical and Numerical Modeling of the Cardiovascular System and Applications ◽

10.1007/978-3-319-96649-6_2 ◽

2018 ◽

pp. 23-40

Author(s):

Jessica Cervi ◽

Raymond J. Spiteri

Keyword(s):

Operator Splitting ◽

Splitting Methods ◽

Order Operator ◽

Operator Splitting Methods ◽

High Order Operator

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American option pricing using Bayesian multi-layer perceptrons and Bayesian support vector machines

IEEE 3rd International Conference on Computational Cybernetics, 2005. ICCC 2005. ◽

10.1109/icccyb.2005.1511576 ◽

2006 ◽

Author(s):

M.M. Pires ◽

T. Marwala

Keyword(s):

Support Vector Machines ◽

Option Pricing ◽

American Option ◽

Support Vector ◽

American Option Pricing ◽

Vector Machines ◽

Bayesian Support

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Operator-Splitting Methods and Applications to the Direct Numerical Simulation of Particulate Flow and to the Solution of the Elliptic Monge-Ampere Equation

Control and Boundary Analysis - Lecture Notes in Pure and Applied Mathematics ◽

10.1201/9781420027426.ch1 ◽

2005 ◽

pp. 1-27 ◽

Author(s):

Edward Dean ◽

Roland Glowinski ◽

Tsorng-Whay Pan

Keyword(s):

Numerical Simulation ◽

Direct Numerical Simulation ◽

Operator Splitting ◽

Splitting Methods ◽

Particulate Flow ◽

Operator Splitting Methods ◽

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Over relaxed hybrid proximal extragradient algorithm and its application to several operator splitting methods

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2016.11.018 ◽

2017 ◽

Vol 448 (2) ◽

pp. 727-749

Author(s):

Li Shen

Keyword(s):

Operator Splitting ◽

Splitting Methods ◽

Operator Splitting Methods ◽

Extragradient Algorithm

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