Moving boundary transformation for American call options with transaction cost: finite difference methods and computing (Q5737869)
From MaRDI portal
scientific article; zbMATH DE number 6724309
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Moving boundary transformation for American call options with transaction cost: finite difference methods and computing |
scientific article; zbMATH DE number 6724309 |
Statements
Moving boundary transformation for American call options with transaction cost: finite difference methods and computing (English)
0 references
30 May 2017
0 references
nonlinear PDE
0 references
free boundary
0 references
transformation
0 references
finite difference methods
0 references
Newton-like method
0 references
alternating direction explicit method
0 references
0 references
0 references
0 references
0 references
