ISSN 2234-8417 (Online) ISSN 1598-5857 (Print)

Table of Contents
2013's   31,5-6(Sept)
  Modulus-based Successive Overrelaxation Method for Pricing American Options
    By Ning Zheng ..........1468
Generic Number - 1468
References - 0
Written Date - September 18th, 13
Modified Date - September 18th, 13
Downloaded Counts - 108
Visited Counts - 442
Original File
We consider the modulus-based successive overrelaxation met-\\hod for the
linear complementarity problems
from the discretization of Black-Scholes American options model.
The $H_+$-matrix property of the system matrix discretized from American option
which guarantees the convergence of the proposed method for the linear
complementarity problem is analyzed.
Numerical experiments confirm the theoretical analysis,
and further show that the modulus-based successive overrelaxation method
is superior to the classical projected successive overrelaxation method
with optimal parameter.

학회 : 정보전산응용수학회(KSICAM) (구: KSCAM & Korean SIGCAM)
연구소 : SPCHIN 전산응용수학연구소 ( SPCHIN-CAM Institute : SPCHIN-CAMI)
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