| Autor: |
Qi Zhang, Qi Wang, Ping Zuo, Hongbo Du, Fangfang Wu |
| Jazyk: |
angličtina |
| Rok vydání: |
2023 |
| Předmět: |
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| Zdroj: |
Mathematics, Vol 11, Iss 22, p 4689 (2023) |
| Druh dokumentu: |
article |
| ISSN: |
2227-7390 |
| DOI: |
10.3390/math11224689 |
| Popis: |
In this paper, an effective numerical method is proposed for a linear complementarity problem (LCP) arising in the valuation of American bond options under the Cox–Ingersoll–Ross (CIR) model. Firstly, a variable substitution is used to simplify the linear complementary model. Secondly, the finite difference method is adopted to discretize the simplified model, and an equivalent variational form is obtained. Based on the positive definiteness of the discretized matrix, a projection and contraction method (PCM) is adopted for the resulting discretized variational problem. Finally, numerical experiments highlight the effectiveness and performance of the proposed algorithm. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
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