A robust finite difference scheme for pricing American put options with singularity-separating method

DOI10.1007/s11075-009-9316-xzbMath1192.91190OpenAlexW2092866632MaRDI QIDQ964214

Zhongdi Cen, Anbo Le

Publication date: 15 April 2010

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-009-9316-x

zbMATH Keywords

central difference schemeBlack-Scholes equationpiecewise uniform meshoption valuationsingularity-separating method

Mathematics Subject Classification ID

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)

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An efficient numerical method for pricing a Russian option with a finite time horizon ⋮ Numerically pricing American options under the generalized mixed fractional Brownian motion model ⋮ The analytical solution for the Black-Scholes equation with two assets in the Liouville-Caputo fractional derivative sense ⋮ An alternating-direction implicit difference scheme for pricing Asian options ⋮ Option pricing using a computational method based on reproducing kernel ⋮ Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval ⋮ An implicit scheme for American put options ⋮ Pricing a resettable convertible bond based on decomposition method and PDE models ⋮ Accurate numerical method for pricing two-asset American put options ⋮ Unnamed Item ⋮ Cubic spline method for a generalized Black-Scholes equation ⋮ Finite difference scheme with a moving mesh for pricing Asian options ⋮ A HODIE finite difference scheme for pricing American options ⋮ American option pricing problem transformed on finite interval

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