Fast and accurate calculation of American option prices
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Publication:1715613
DOI10.1007/s10203-018-0224-1zbMath1419.91644OpenAlexW2901482389MaRDI QIDQ1715613
Publication date: 29 January 2019
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-018-0224-1
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)
Related Items (4)
On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation ⋮ A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model ⋮ A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions ⋮ An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options
Uses Software
Cites Work
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