Solving American option pricing models by the front fixing method: numerical analysis and computing

DOI10.1155/2014/146745zbMath1470.91324OpenAlexW2052635339WikidataQ59035493 ScholiaQ59035493MaRDI QIDQ1722182

Lucas Jodar, Vera N. Egorova, Rafael Company

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/146745

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) Derivative securities (option pricing, hedging, etc.) (91G20)

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