A new predictor-corrector scheme for valuing American puts

DOI10.1016/j.amc.2010.10.044zbMath1237.91236OpenAlexW2035981590MaRDI QIDQ620987

Jin Zhang, Song-Ping Zhu

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

zbMATH Keywords

finite difference methodfree boundary problempredictor-correctorAmerican put options

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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A simple numerical method for pricing an American put option ⋮ Valuation of the American put option as a free boundary problem through a high-order difference scheme ⋮ A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility ⋮ A HODIE finite difference scheme for pricing American options ⋮ A predictor-corrector approach for pricing American options under the finite moment log-stable model ⋮ Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models ⋮ An efficient computational algorithm for pricing European, barrier and American options ⋮ Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme ⋮ Stock loan valuation under a stochastic interest rate model

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