A HODIE finite difference scheme for pricing American options
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Publication:667962
DOI10.1186/s13662-018-1917-zzbMath1458.91224OpenAlexW2922053463MaRDI QIDQ667962
Publication date: 4 March 2019
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-018-1917-z
Numerical methods (including Monte Carlo methods) (91G60) 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) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (10)
On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation ⋮ Pricing the American options: a closed-form, simple formula ⋮ Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters ⋮ A combined compact difference scheme for option pricing in the exponential jump-diffusion models ⋮ Monotonicity theorem for the uncertain fractional differential equation and application to uncertain financial market ⋮ AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS ⋮ An implicit scheme for American put options ⋮ Perpetual cancellable American options with convertible features ⋮ Haar‐wavelet based approximation for pricing American options under linear complementarity formulations ⋮ Valuation of the American put option as a free boundary problem through a high-order difference scheme
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