Parabolic ADI methods for pricing American options on two stocks

• 成果类型: Article
• 署名作者: Villeneuve, S; Zanette, A
• 署名单位: Universite Paris Saclay; University of Udine
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.27.1.121.341
• 发表日期: 2002
• 页码: 121-149
• 关键词: Approximation; EQUATIONS

摘要

we propose two numerical methods for pricing American options on two stocks based on the ADI algorithm of Peaceman and Rachford (1955). We prove the stability and convergence of these schemes and establish a comparative result.