A Numerical Approach for the American Call Option Pricing Model

DOI10.1007/978-3-642-18466-6_54zbMath1318.91196OpenAlexW1608746494MaRDI QIDQ3075297

Juri D. Kandilarov, Radoslav L. Valkov

Publication date: 11 February 2011

Published in: Numerical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-18466-6_54

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite difference methods for boundary value problems involving PDEs (65N06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Numerical Method for Solving Free Boundary Problem Arising from Fixed Rate Mortgages ⋮ Stock loan valuation under a stochastic interest rate model ⋮ Numerical method for a system of PIDEs arising in American contingent claims under FMLS model with jump diffusion and regime-switching process

Cites Work

• A fast high-order finite difference algorithm for pricing American options
• The Stefan problem. Translated from the Russian by Marek Niezgódka and Anna Crowley
• Analysis of the free boundary for the pricing of an American call option
• Kombinationswirbelfelder in realen Strömungen
• A Fast Numerical Method for the Black--Scholes Equation of American Options
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