Rational Spectral Collocation Method for Pricing American Vanilla and Butterfly Spread Options

DOI10.1007/978-3-319-20239-6_35zbMath1410.91463OpenAlexW2276816099MaRDI QIDQ2942223

Kailash C. Patidar, Edson Pindza, Edgard Ngounda

Publication date: 20 August 2015

Published in: Finite Difference Methods,Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-20239-6_35

zbMATH Keywords

American optionsrational spectral collocation methodbutterfly spread options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)

Related Items (2)

The Conditioning of a Linear Barycentric Rational Interpolant ⋮ A periodic map for linear barycentric rational trigonometric interpolation

Cites Work

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• Implicit-explicit Runge-Kutta methods for financial derivatives pricing models
• Mappings and accuracy for Chebyshev pseudo-spectral approximations
• Derivative securities and difference methods.
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation

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