Accurate numerical method for pricing two-asset American put options

DOI10.1155/2013/189235zbMath1264.91141OpenAlexW2063334865WikidataQ59013697 ScholiaQ59013697MaRDI QIDQ1951059

Xianbin Wu

Publication date: 29 May 2013

Published in: Journal of Function Spaces and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/189235

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)

Related Items (1)

An efficient finite element method for pricing American multi-asset put options

Cites Work

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