A1 Journal article (refereed)
Iterative Methods for Pricing American Options under the Bates Model (2013)

Salmi, S., Toivanen, J., & von Sydow, L. (2013). Iterative Methods for Pricing American Options under the Bates Model. Procedia Computer Science, 18, 1136-1144. https://doi.org/10.1016/j.procs.2013.05.279

JYU authors or editors

Publication details

All authors or editors: Salmi, Santtu; Toivanen, Jari; von Sydow, Lina

Journal or series: Procedia Computer Science

ISSN: 1877-0509

eISSN: 1877-0509

Publication year: 2013

Volume: 18

Issue number: 0

Pages range: 1136-1144

Publisher: Elsevier BV

Place of Publication: Amsterdam

Publication country: Netherlands

Publication language: English

DOI: https://doi.org/10.1016/j.procs.2013.05.279

Publication open access: Not open

Publication channel open access: 

Publication is parallel published (JYX): https://jyx.jyu.fi/handle/123456789/49316

Additional information: International Conference on Computational Science, ICCS 2013.

Free keywords: American option; Bates model; Finite difference method; Iterative method; Linear complementarity problem

Contributing organizations

Ministry reporting: Yes

Reporting Year: 2014

JUFO rating: 1