Constructing positive reliable numerical solution for American call options: a new front-fixing approach (Q491062)
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scientific article; zbMATH DE number 6475027
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constructing positive reliable numerical solution for American call options: a new front-fixing approach |
scientific article; zbMATH DE number 6475027 |
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Constructing positive reliable numerical solution for American call options: a new front-fixing approach (English)
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24 August 2015
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American call option pricing
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finite difference scheme
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front-fixing transformation
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numerical analysis
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positivity
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