scientific article; zbMATH DE number 6453876

zbMATH Open1324.91075MaRDI QIDQ5260516

Shusen Xie, Guoxiao Yu

Publication date: 29 June 2015

Title of this publication is not available (Why is that?)

zbMATH Keywords

free boundary problemAmerican option pricingcompact difference schemefront-fixing transformation

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)

Related Items (2)

Compact finite difference method for American option pricing ⋮ On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation

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