A new numerical method an American option pricing
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Publication:865981
zbMath1152.91512MaRDI QIDQ865981
Xiaotie Deng, Jiwu Shu, Yong-geng Gu, Weiming Zheng
Publication date: 20 February 2007
Published in: Science in China. Series F (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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