scientific article; zbMATH DE number 7360680

zbMath1473.91030MaRDI QIDQ4994283

Riccardo Fazio

Publication date: 17 June 2021

Full work available at URL: http://www.math.nthu.edu.tw/~amen/2020/AMEN-191001.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) 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) Error bounds for initial value and initial-boundary value problems involving PDEs (65M15)

Related Items (1)

Perpetual American Put Option: an Error Estimator for Non-Standard Finite Difference Scheme

Uses Software

• Matlab

Cites Work

• Unnamed Item
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• The Pricing of Options and Corporate Liabilities
• Variational inequalities and the pricing of American options
• Mathematical models of financial derivatives
• Solving American option pricing models by the front fixing method: numerical analysis and computing
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• Optimization via simulation: A review
• Far Field Boundary Conditions for Black--Scholes Equations
• CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS¹
• An Intertemporal Capital Asset Pricing Model
• An exact and explicit solution for the valuation of American put options
• Symmetric hyperbolic linear differential equations

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