scientific article; zbMATH DE number 6936196

zbMath1397.65138MaRDI QIDQ5374429

Christina C. Christara, Vida Heidarpour-Dehkordi

Publication date: 14 September 2018

Full work available at URL: http://www.math.ualberta.ca/ijnam/Volume-15-2018/No-3-18/2018-03-03.pdf

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

zbMATH Keywords

analytical approximationalternating direction implicit methodAmerican optionexchange optionspread optionpenalty iterationmodified Craig-Sneydnumerical PDE solutiontwo-dimensional Black-Scholes

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) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU ⋮ Operator splitting schemes for American options under the two-asset Merton jump-diffusion model

Uses Software

• Matlab

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