Samuli Ikonen, Jari Toivanen  Home/Search
Context
Related
| mit.jyu.fi/tene/pape...reportB0404.pdf Cached: PS.gz PS PDF This document uses CoBlitz to cache paper downloads. If your firewall is blocking outgoing connections to port 3125, you can use these links to download local copies.
Image Update HelpPS.gz PS PDF From: mit.jyu.fi/tene/papers/index (more) (Enter author homepages) |
Rate this article:      (best)Comment on this article |
Abstract: Numerical solution methods for pricing American options are considered. We propose a second-order accurate Runge-Kutta scheme for the time discretization of the Black-Scholes partial di#erential equation with an early exercise constraint. (Update)
Active bibliography (related documents): More All
2.1: Reports of the Department of Mathematical Information.. - Series Scientific.. (Correct)
1.7: Componentwise Splitting Methods for Pricing American Options .. - Ikonen, Toivanen (2005) (Correct)
1.5: Operator Splitting Methods for Pricing American Options with .. - Ikonen, Toivanen (2004) (Correct)
Similar documents based on text: More All
0.5: A Parallel Fictitious Domain Method for the.. - Heikkola, Rossi.. (1999) (Correct)
0.2: Fast Direct Solution of the Helmholtz Equation with a.. - Heikkola, Rossi.. (2002) (Correct)
0.2: Parallel Solution Methods For Large-Scale Acoustic.. - Heikkola, Rossi.. (2001) (Correct)
BibTeX entry: (Update)
@misc{ ikonen-pricing,
author = "Samuli Ikonen and Jari Toivanen",
title = "Pricing American Options Using LU Decomposition",
url = "citeseer.ist.psu.edu/ikonen04pricing.html" }
Citations (may not include all citations):434 The pricing of options and corporate liabilities (context) - Black, Scholes - 1973
108 Numerical methods for nonlinear variational problems (context) - Glowinski - 1984
55 and other derivatives (context) - Hull, futures - 1997
54 Option pricing: mathematical models and computation (context) - Wilmott, Dewynne et al. - 1993
28 Weak and variational methods for moving boundary problems (context) - Elliott, Ockendon - 1982
27 The valuation of American put options (context) - Brennan, Schwartz - 1977
25 of Springer Series in Computational Mathematics (context) - Hairer, Wanner et al. - 1996
17 Variational inequalities and the pricing of American options - Jaillet, Lamberton et al. - 1990
14 Valuing derivatives securities using the explicit finite dif.. (context) - Hull, White - 1990
13 Numerical solution of convection-di#usion problems (context) - Morton - 1996
12 American option valuation: New bounds (context) - Broadie, Detemple - 1996
12 Valuation by approximation: A comparison of alternative opti.. (context) - Geske, Shastri - 1985
8 Fast numerical valuation of American (context) - Dempster, Hutton - 1997
6 Computer Science and Scientific Computing (context) - Cottle, Pang et al. - 1992
6 Multigrid for American option pricing with stochastic volati.. (context) - Clarke, Parrott - 1999
6 On multigrid for linear complementarity problems with applic.. (context) - Oosterlee - 2003
5 matrices in numerical analysis (context) - Windisch - 1989
5 Far field boundary conditions for Black-Scholes equations (context) - Kangro, Nicolaides - 2000
4 Finite element solution of di#usion problems with irregular .. (context) - Rannacher - 1984
4 Option pricing and linear complementarity - Huang, Pang - 1998
4 Pricing financial instrument (context) - Tavella, Randall - 2000
4 Quadratic convergence for valuing American options using a p.. - Forsyth, Vetzal - 2095
4 Operator splitting methods for American option pricing (context) - Ikonen, Toivanen
4 cients in two factor option pricing models (context) - Zvan, Forsyth et al. - 2003
3 Convergence remedies for non-smooth payo#s in option pricing (context) - Pooley, Vetzal et al. - 2003
3 Two new finite di#erence schemes for parabolic equations (context) - Cash - 1984
3 Penalty and front-fixing methods for the numerical solution .. - Nielsen, Skavhaug et al. - 2002
3 Tools for computational finance (context) - Seydel - 2002
2 Mathematical Finance (context) - stock, linear - 1999
2 The extrapolation of first order methods for parabolic parti.. (context) - Lawson, Morris - 1978
1 Introduction to partial di#erential equations (context) - Tveito, Winther - 1998
1 Splitting methods for the numerical solution of the incompre.. (context) - Glowinski - 1986
1 cient pricing of vanilla stock options via the Crandall-Doug.. (context) - McCartin, Labadie - 2003
Documents on the same site (http://www.mit.jyu.fi/tene/papers/index.html): More
A Parallel Fast Direct Solver With Applications - Mäkinen, Rossi, Toivanen (Correct)
A Fictitious Domain Method with Distributed Lagrange.. - Glowinski.. (1998) (Correct)
Parallel Fictitious Domain Method for a Nonlinear Elliptic.. - Rossi, Toivanen (1997) (Correct)
Online articles have much greater impact More about CiteSeer.IST Add search form to your site Submit documents Feedback
CiteSeer.IST - Copyright Penn State and NEC