Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2026
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| Schlagworte: | |
| Online-Zugang: | https://arxiv.org/abs/2605.22315 |
| Tags: |
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Inhaltsangabe:
- Pricing American options is more complicated than pricing European options, because they can be exercised at any time, and one thus needs to solve a linear complementarity problem instead of simply doing time stepping for computing European options. We introduce a new Schwarz modulus-based splitting method for solving such linear complementarity problems, and further accelerate them using Modified Polynomial Extrapolation, a non-linear vector sequence acceleration technique, which is very much related to Krylov methods in the linear case. Numerical experiments on a model problem show that our new solver can have close to an order of magnitude lower iteration counts than the classically used modulus-based matrix splitting technique.