Please note that Internet Explorer version 8. Please refer to this blog post for more information. 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.

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Tools for Computational Finance - Rüdiger U. Seydel - Google Livres

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Please enable JavaScript to use all the features on this page. Procedia Computer Science Volume 18 , , Pages open access.

Author links open the author workspace. Numbers and letters correspond to the affiliation list. Click to expose these in author workspace Jari Toivanen. Opens the author workspace Opens the author workspace a.

Click to expose these in author workspace b. Click to expose these in author workspace Lina von Sydow. Click to expose these in author workspace a Department of Mathematical Information Technology, P.

American-Type Options: Stochastic Approximation Methods - Dmitrii S. Silvestrov - Google Livres

Under a Creative Commons license. 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.

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