A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems

DOI10.1016/j.matcom.2020.07.015OpenAlexW3044952834MaRDI QIDQ2666189

Vera N. Egorova, Rafael Company, Lucas Jodar

Publication date: 22 November 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2020.07.015

zbMATH Keywords

American option pricingGauss quadraturefinite difference methodsexponential time differencingfront-fixing methodexperimental numerical analysis

Mathematics Subject Classification ID

Numerical analysis (65-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (2)

An ETD method for multi‐asset American option pricing under jump‐diffusion model ⋮ Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model

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