APPROXIMATION OF THE FREE BOUNDARY OF AN AMERICAN CALL OPTION BY FINITE DIFFERENCES ON PARALLELOGRAMS (Q5740967)
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scientific article; zbMATH DE number 6605118
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | APPROXIMATION OF THE FREE BOUNDARY OF AN AMERICAN CALL OPTION BY FINITE DIFFERENCES ON PARALLELOGRAMS |
scientific article; zbMATH DE number 6605118 |
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APPROXIMATION OF THE FREE BOUNDARY OF AN AMERICAN CALL OPTION BY FINITE DIFFERENCES ON PARALLELOGRAMS (English)
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20 July 2016
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American call option
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free boundary
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Black-Scholes equation
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Crank-Nicolson discretization method
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Newton's method
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finite differences
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