Hybrid Laplace transform and finite difference methods for pricing American options under complex models

DOI10.1016/j.camwa.2017.04.018zbMath1408.91235OpenAlexW2640165762MaRDI QIDQ1704172

Jingtang Ma, Zhiqiang Zhou, Zhen-Yu Cui

Publication date: 9 March 2018

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2017.04.018

zbMATH Keywords

American option pricingfinite difference methodspartial differential equationsfractional partial differential equationsLaplace transform methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Fractional partial differential equations (35R11)

Related Items (4)

Numerical methods for a partial differential equation with spatial delay arising in option pricing under hard-to-borrow model ⋮ Laplace transform method for pricing American CEV strangles option with two free boundaries ⋮ An efficient numerical method for pricing American put options under the CEV model ⋮ Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications

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