The Numerical Solution of the American Option Pricing Problem

DOI10.1142/8736zbMath1321.91002OpenAlexW4254509348MaRDI QIDQ2946361

Gunter H. Meyer, Boda Kang, Carl Chiarella

Publication date: 16 September 2015

Full work available at URL: https://doi.org/10.1142/8736

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for integral transforms (65R10) Free boundary problems for PDEs (35R35) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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