Valuation of the American put option as a free boundary problem through a high-order difference scheme

DOI10.1515/ijnsns-2020-0252OpenAlexW3216163864MaRDI QIDQ2698660

Murat Sari, Seda Gülen

Publication date: 24 April 2023

Published in: International Journal of Nonlinear Sciences and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/ijnsns-2020-0252

zbMATH Keywords

free boundaryAmerican put optionhigh-order differencefront-fixing method

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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