FINITE-DIFFERENCE BISECTION ALGORITHMS FOR FREE BOUNDARIES OF AMERICAN OPTIONS (Q3192913)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | FINITE-DIFFERENCE BISECTION ALGORITHMS FOR FREE BOUNDARIES OF AMERICAN OPTIONS |
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FINITE-DIFFERENCE BISECTION ALGORITHMS FOR FREE BOUNDARIES OF AMERICAN OPTIONS (English)
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14 October 2015
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American call and put options
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Black-Scholes equations
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free boundary
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fixed point
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upwind finite-difference scheme
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M-matrix
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bisection method
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unconditional stability
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