Compact finite difference method for American option pricing

DOI10.1016/j.cam.2006.07.006zbMath1151.91552OpenAlexW2019305020MaRDI QIDQ2370586

Jichao Zhao, Matt Davison, Robert M. Corless

Publication date: 29 June 2007

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2006.07.006

zbMATH Keywords

American option pricingcompact finite difference methodBlack-Scholes equationoptimal exercise boundaryfree boundary value

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) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• Matlab
• ode23
• ode45
• Ode15s
• ode113
• ode23s
• MATLAB ODE suite
• FINDIF

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