A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence

DOI10.4171/IFB/106zbMath1068.35190OpenAlexW2169882516WikidataQ115212490 ScholiaQ115212490MaRDI QIDQ1769398

Fred Espen Benth, Kristin Reikvam, Kenneth Hvistendahl Karlsen

Publication date: 21 March 2005

Published in: Interfaces and Free Boundaries (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4171/ifb/106

zbMATH Keywords

approximate solutionsAmerican call/put option valuationupwind finite difference scheme of predicator-corrector type

Mathematics Subject Classification ID

PDEs with randomness, stochastic partial differential equations (35R60) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (5)

Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing ⋮ A new predictor-corrector scheme for valuing American puts ⋮ Valuing American options by simulation: a BSDEs approach ⋮ Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models ⋮ Monte-Carlo methods for the pricing of American options: a semilinear BSDE point of view

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