A new predictor-corrector scheme for valuing American puts (Q620987)
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scientific article; zbMATH DE number 5843671
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new predictor-corrector scheme for valuing American puts |
scientific article; zbMATH DE number 5843671 |
Statements
A new predictor-corrector scheme for valuing American puts (English)
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2 February 2011
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American put options
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predictor-corrector
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finite difference method
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free boundary problem
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0.9132263
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0.89704376
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0.8801249
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0.86304915
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0.8603114
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0.8574818
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0.85659534
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0.8539579
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