A high-order compact method for nonlinear Black–Scholes option pricing equations of American options

DOI10.1080/00207160.2011.558574zbMath1237.91228OpenAlexW2082871697MaRDI QIDQ2885511

Matthias Ehrhardt, E. Dremkova

Publication date: 23 May 2012

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2011.558574

zbMATH Keywords

American optionshigh-order methodstransaction costscompact finite difference schemenonlinear Black-Scholes equationfixed domain transformation

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) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06)

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