dc.contributor.author | Salmi, Santtu | |
dc.contributor.author | Toivanen, Jari | |
dc.contributor.author | von Sydow, Lina | |
dc.date.accessioned | 2016-04-13T06:23:31Z | |
dc.date.available | 2016-04-13T06:23:31Z | |
dc.date.issued | 2013 | |
dc.identifier.citation | Salmi, S., Toivanen, J., & von Sydow, L. (2013). Iterative Methods for Pricing American Options under the Bates Model. <i>Procedia Computer Science</i>, <i>18</i>, 1136-1144. <a href="https://doi.org/10.1016/j.procs.2013.05.279" target="_blank">https://doi.org/10.1016/j.procs.2013.05.279</a> | |
dc.identifier.other | CONVID_23787472 | |
dc.identifier.other | TUTKAID_62507 | |
dc.identifier.uri | https://jyx.jyu.fi/handle/123456789/49316 | |
dc.description.abstract | We consider the numerical pricing of American options under the Bates model which adds log-normally distributed jumps for the asset value to the Heston stochastic volatility model. A linear complementarity problem (LCP) is formulated where partial derivatives are discretized using finite differences and the integral resulting from the jumps is evaluated using simple quadrature. A rapidly converging fixed point iteration is described for the LCP, where each iterate requires the solution of an LCP. These are easily solved using a projected algebraic multigrid (PAMG) method. The numerical experiments demonstrate the efficiency of the proposed approach. Furthermore, they show that the PAMG method leads to better scalability than the projected SOR (PSOR) method when the discretization is refined. | |
dc.language.iso | eng | |
dc.publisher | Elsevier BV | |
dc.relation.ispartofseries | Procedia Computer Science | |
dc.subject.other | American option | |
dc.subject.other | Bates model | |
dc.subject.other | Finite difference method | |
dc.subject.other | Iterative method | |
dc.subject.other | Linear complementarity problem | |
dc.title | Iterative Methods for Pricing American Options under the Bates Model | |
dc.type | article | |
dc.identifier.urn | URN:NBN:fi:jyu-201604122178 | |
dc.contributor.laitos | Tietotekniikan laitos | fi |
dc.contributor.laitos | Department of Mathematical Information Technology | en |
dc.contributor.oppiaine | Tietotekniikka | fi |
dc.contributor.oppiaine | Mathematical Information Technology | en |
dc.type.uri | http://purl.org/eprint/type/JournalArticle | |
dc.date.updated | 2016-04-12T15:15:14Z | |
dc.type.coar | http://purl.org/coar/resource_type/c_2df8fbb1 | |
dc.description.reviewstatus | peerReviewed | |
dc.format.pagerange | 1136-1144 | |
dc.relation.issn | 1877-0509 | |
dc.relation.numberinseries | 0 | |
dc.relation.volume | 18 | |
dc.type.version | publishedVersion | |
dc.rights.copyright | © 2013 The Authors. Published by Elsevier B.V. This is an open access article licensed under the CC BY-NC-ND license. | |
dc.rights.accesslevel | openAccess | fi |
dc.rights.url | http://creativecommons.org/licenses/by-nc-nd/3.0/ | |
dc.relation.doi | 10.1016/j.procs.2013.05.279 | |
dc.type.okm | A1 | |