Runge-Kutta-Gegenbauer relaxation for parallelised option pricing


We present an alternative approach to the classic Projected Successive Over-Relaxation (PSOR) fixed-point iterative method for pricing American options via finite-differencing. Relaxation factors for the... [ view full abstract ]


  1. Stephen O'Sullivan (Dublin Institute of Technology)
  2. Conall O'Sullivan (Smurfit Business School, University College Dublin)

Topic Areas

Computational Finance , Numerical Methods , Options


TU-P-UI » American, Asian and Exotic Options (14:30 - Tuesday, 17th July, Ui Chadhain)

Presentation Files

The presenter has not uploaded any presentation files.