Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
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Publication:2302378
DOI10.1007/s10915-020-01137-9zbMath1433.91173OpenAlexW3004164505MaRDI QIDQ2302378
Publication date: 26 February 2020
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10915-020-01137-9
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Efficient Spectral-Galerkin Method for Pricing Asian Options ⋮ An implicit scheme for American put options ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
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