On the convergence of a Crank-Nicolson fitted finite volume method for pricing American bond options
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Publication:6534640
DOI10.1155/2020/1052084zbMath1544.91358MaRDI QIDQ6534640
Publication date: 14 May 2021
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Finite volume methods for initial value and initial-boundary value problems involving PDEs (65M08)
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