Search Results - subject:"componentwise splitting method"

Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitt...

Gudkov, Nikolay; Ignatieva, Ekaterina; Ziveyi, Jonathan - In: Quantitative finance 19 (2019) 3, pp. 501-518

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012194671

COMPONENTWISE SPLITTING METHODS FOR PRICING AMERICAN OPTIONS UNDER STOCHASTIC VOLATILITY

IKONEN, SAMULI; TOIVANEN, JARI - In: International Journal of Theoretical and Applied … 10 (2007) 02, pp. 331-361

splitting method is increased by applying the Strang symmetrization. The good accuracy and the computational efficiency of the …, which was originally introduced for American options under the Black and Scholes model. The accuracy of the componentwise …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10004971758