A new predictor-corrector scheme for valuing American puts
From MaRDI portal
Publication:620987
DOI10.1016/j.amc.2010.10.044zbMath1237.91236OpenAlexW2035981590MaRDI QIDQ620987
Publication date: 2 February 2011
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2010.10.044
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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