Option valuation by using discrete singular convolution

DOI10.1016/j.amc.2004.07.010zbMath1096.91034OpenAlexW2156171670MaRDI QIDQ2570721

Shan Zhao, Guo-Wei Wei

Publication date: 28 October 2005

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

Full work available at URL: https://doi.org/10.1016/j.amc.2004.07.010

zbMATH Keywords

American option valuationOption pricingDiscrete singular convolutionAdaptive meshOptimal exercise boundary

Mathematics Subject Classification ID

Related Items (5)

Vibration analysis of conical panels using the method of discrete singular convolution ⋮ Complex analytic approach to the sinc-Gauss sampling formula ⋮ Free vibration analysis of Timoshenko beams by DSC method ⋮ Free vibration analysis of symmetric laminated skew plates by discrete singular convolution technique based on first-order shear deformation theory ⋮ A highly accurate adaptive finite difference solver for the Black–Scholes equation

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