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An implicit scheme for American put options - MaRDI portal

An implicit scheme for American put options (Q6057151)

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scientific article; zbMATH DE number 7754878
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English
An implicit scheme for American put options
scientific article; zbMATH DE number 7754878

    Statements

    title
    An implicit scheme for American put options (English)
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    author
    Xinfu Chen
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    Zhengyang Lu
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    Jingtang Ma
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    Jin-ye Shen
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    publication date
    25 October 2023
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    zbMATH Keywords
    American put options
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    implicit finite difference methods
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    parabolic variational inequalities
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    free boundary problems
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    cites work
    Q5200620
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    Q3678248
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    Q5709400
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65M06
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    91G20
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    60G40
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    zbMATH DE Number
    7754878
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    OpenAlex ID
    W4387173759
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