Spectral Method for the Black-Scholes Model of American Options Valuation

DOI10.4208/JMS.V47N1.14.03zbMath1313.91190OpenAlexW2096185447MaRDI QIDQ2924754

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Publication date: 3 November 2014

Published in: Journal of Mathematical Study (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/jms.v47n1.14.03

zbMATH Keywords

American option pricingBlack-Scholes modelChebyshev spectral methodoptimal exercise boundary

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for integral equations (65R20) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)

Related Items (4)

Numerical solution of a non-classical two-phase Stefan problem via radial basis function (RBF) collocation methods ⋮ An efficient numerical method for the valuation of American multi-asset options ⋮ Stability and error analysis of operator splitting methods for American options under the Black-Scholes model ⋮ Projection and Contraction Method for the Valuation of American Options

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