Efficient numerical pricing of American options based on multiple shooting method: a PDE approach
DOI10.1080/00036811.2022.2057306OpenAlexW4220919842WikidataQ114101864 ScholiaQ114101864MaRDI QIDQ6079793
Somayeh Abdi-Mazraeh, Safar Irandoust-Pakchin, Shahram Rezapour
Publication date: 29 September 2023
Published in: Applicable Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00036811.2022.2057306
American option pricingpartial differential equationpenalty methodBlack-Scholes equationmultiple shooting methodRichardson extrapolated method
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) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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