Front-tracking finite difference methods for the valuation of American options

DOI10.1023/A:1008695215988zbMath0913.90022OpenAlexW1564270656MaRDI QIDQ1272691

K. N. Pantazopoulos, S. Kortesis, Elias N. Houstis

Publication date: 3 January 1999

Published in: Computational Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1008695215988

zbMATH Keywords

option pricingfree boundary problemsAmerican option valuation problemfront-tracking finite difference method

Mathematics Subject Classification ID

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