Stabilized explicit Runge-Kutta methods for multi-asset American options
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Publication:316630
DOI10.1016/j.camwa.2014.01.018zbMath1386.91165OpenAlexW2034568860MaRDI QIDQ316630
B. Kleefeld, Abdul Q. M. Khaliq, Jesús Martín-Vaquero
Publication date: 27 September 2016
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2014.01.018
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Method of lines for initial value and initial-boundary value problems involving PDEs (65M20)
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Uses Software
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