A high-order compact method for nonlinear Black–Scholes option pricing equations of American options (Q2885511)
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scientific article; zbMATH DE number 6037877
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A high-order compact method for nonlinear Black–Scholes option pricing equations of American options |
scientific article; zbMATH DE number 6037877 |
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A high-order compact method for nonlinear Black–Scholes option pricing equations of American options (English)
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23 May 2012
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nonlinear Black-Scholes equation
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compact finite difference scheme
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American options
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high-order methods
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fixed domain transformation
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transaction costs
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