Solving American option pricing models by the front fixing method: numerical analysis and computing
type: Item
instance of: scholarly article
title: Solving American option pricing models by the front fixing method: numerical analysis and computing
zbMATH Open document ID: 1470.91324
DOI: 10.1155/2014/146745
published in: Abstract and Applied Analysis
publication date: 2019-02-14T00:00:00Z
review text: Summary: This paper presents an explicit finite-difference method for nonlinear partial differential equation appearing as a transformed Black-Scholes equation for American put option under logarithmic front fixing transformation. Numerical analysis of the method is provided. The method preserves positivity and monotonicity of the numerical solution. Consistency and stability properties of the scheme are studied. Explicit calculations avoid iterative algorithms for solving nonlinear systems. Theoretical results are confirmed by numerical experiments. Comparison with other approaches shows that the proposed method is accurate and competitive.
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 7021808
Wikidata QID: Q59035493
author: R. Company
author: V. N. Egorova
author: L. Jódar
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/146745
OpenAlex ID: W2052635339
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description: scientific article; zbMATH DE number 7021808