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• W2011073159 abstract "The deterministic numerical valuation of American options under Heston's stochastic volatility model is considered. The prices are given by a linear complementarity problem with a two-dimensional parabolic partial differential operator. A new truncation of the domain is described for small asset values, while for large asset values and variance a standard truncation is used. The finite difference discretization is constructed by numerically solving a quadratic optimization problem aiming to minimize the truncation error at each grid point. A Lagrange approach is used to treat the linear complementarity problems. Numerical examples demonstrate the accuracy and effectiveness of the proposed approach." @default.
• W2011073159 created "2016-06-24" @default.
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• W2011073159 date "2009-01-01" @default.
• W2011073159 modified "2023-10-03" @default.
• W2011073159 title "Lagrange Multiplier Approach with Optimized Finite Difference Stencils for Pricing American Options under Stochastic Volatility" @default.
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• W2011073159 doi "https://doi.org/10.1137/07070574x" @default.
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