| Article ID: | iaor200484 |
| Country: | United States |
| Volume: | 27 |
| Issue: | 1 |
| Start Page Number: | 121 |
| End Page Number: | 149 |
| Publication Date: | Feb 2002 |
| Journal: | Mathematics of Operations Research |
| Authors: | Villeneuve S., Zanette A. |
We propose two numerical methods for pricing American options on two stocks based on the ADI algorithm of Peaceman and Rachford. We prove the stability and convergence of these schemes and establish a comparative result.