Adaptive implicit finite difference for American options

DOI10.12286/jssx.j2022-1025MaRDI QIDQ6665204

Zhongyi Huang, Wenjia Xie

Publication date: 17 January 2025

Published in: Mathematica Numerica Sinica (Search for Journal in Brave)

zbMATH Keywords

finite difference methodfree boundary problema posteriori error estimatorRichardson extrapolationAmerican option

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

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