A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing
type: Item
instance of: scholarly article
title: A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing
zbMATH Open document ID: 1254.91744
author: Zhongdi Cen
author: Anbo Le
author: Aimin Xu
published in: Computational Economics
publication date: 2013-01-11T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65M12
Mathematics Subject Classification ID: 65M15
zbMATH DE Number: 6124507
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: option valuation
zbMATH Keywords: power penalty method
zbMATH Keywords: central difference scheme
zbMATH Keywords: piecewise uniform mesh
MaRDI profile type: Publication
full work available at URL: s10614-011-9268-9
OpenAlex ID: W1995718228
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DOI: 10.1007/S10614-011-9268-9
description: scientific article; zbMATH DE number 6124507