Accurate numerical method for pricing two-asset American put options
type: Item
instance of: scholarly article
title: Accurate numerical method for pricing two-asset American put options
zbMATH Open document ID: 1264.91141
DOI: 10.1155/2013/189235
author: Xianbin Wu
published in: Journal of Function Spaces and Applications
publication date: 2013-05-29T00:00:00Z
review text: Summary: We develop an accurate finite difference scheme for pricing two-asset American put options. We use the central difference method for space derivatives and the implicit Euler method for the time derivative. Under certain mesh step size limitations, the matrix associated with the discrete operator is an M-matrix, which ensures that the solutions are oscillation-free. We apply the maximum principle to the discrete linear complementarity problem in two mesh sets and derive the error estimates. It is shown that the scheme is second-order convergent with respect to the spatial variables. Numerical results support the theoretical results.
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65M06
zbMATH DE Number: 6167894
Wikidata QID: Q59013697
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2013/189235
OpenAlex ID: W2063334865
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description: scientific article; zbMATH DE number 6167894