A NOVEL NUMERICAL APPROACH OF COMPUTING AMERICAN OPTION
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Publication:3021980
DOI10.1142/S0129054102001394zbMath1066.91050MaRDI QIDQ3021980
Weiming Zheng, Jiwu Shu, Yong-geng Gu
Publication date: 22 June 2005
Published in: International Journal of Foundations of Computer Science (Search for Journal in Brave)
finite difference methodfree boundaryBlack-Scholes equationAmerican optionanalytical method of lines
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (2)
Parameter estimation approach to the free boundary for the pricing of an American call option ⋮ Representations for conditional expectations and applications to pricing and hedging of financial products in Lévy and jump-diffusion setting
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