scientific article; zbMATH DE number 6263536

zbMath1299.91172MaRDI QIDQ5399689

Zhuofeng Xiao, Liping Wang, Nan-Bin Cao

Publication date: 28 February 2014

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

zbMATH Keywords

finite difference schemeAmerican call optionpricing modelsfree and moving boundary valuefront-fixing methods

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)

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