A fast high-order finite difference algorithm for pricing American options

DOI10.1016/j.cam.2007.10.044zbMath1147.91032OpenAlexW2000061503MaRDI QIDQ952074

Muddun Bhuruth, Ashvin Gopaul, Désiré Yannick Tangman

Publication date: 6 November 2008

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2007.10.044

zbMATH Keywords

finite difference methodAmerican optionsfree boundaryhigh-order compact schemesingularity separating

Mathematics Subject Classification ID

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Cites Work

• Variational inequalities and the pricing of American options
• Operator splitting methods for American option pricing.
• Derivative securities and difference methods.
• Far Field Boundary Conditions for Black--Scholes Equations
• Quadratic Convergence for Valuing American Options Using a Penalty Method
• On the Early Exercise Boundary of the American Put Option
• A Fast Numerical Method for the Black--Scholes Equation of American Options
• Binomial models for option valuation - examining and improving convergence
• The Mathematics of Financial Derivatives
• Optimal and near-optimal advection-diffusion finite-difference schemes. II. Unsteadiness and non-uniform grid
• Computational Methods for Option Pricing
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
• Unnamed Item

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