Application of the singularity-separating method to American exotic option pricing

DOI10.1023/A:1022835722199zbMath1042.91029OpenAlexW122990458MaRDI QIDQ1871996

You-lan Zhu, Hanping Xu, Bin-mu Chen, Hongliang Ren

Publication date: 4 May 2003

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1022835722199

zbMATH Keywords

American option pricingfinite difference methodsEuropean optioncomputational finance

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (6)

Numerically pricing American options under the generalized mixed fractional Brownian motion model ⋮ A simple numerical method for pricing an American put option ⋮ An implicit scheme for American put options ⋮ An artificial boundary method for the Hull-White model of American interest rate derivatives ⋮ A HODIE finite difference scheme for pricing American options ⋮ A robust finite difference scheme for pricing American put options with singularity-separating method

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