An efficient computational algorithm for pricing European, barrier and American options
DOI10.1007/s40314-018-0605-7zbMath1404.65287OpenAlexW2794114978MaRDI QIDQ1993476
Somayeh Abdi-Mazraeh, Ali Khani
Publication date: 5 November 2018
Published in: Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40314-018-0605-7
option pricingpredictor-corrector methoddomain decomposition methodBlack-Scholes equationspectral collocation technique
Numerical methods (including Monte Carlo methods) (91G60) Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Free boundary problems for PDEs (35R35)
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