{"entities":{"Q1769398":{"pageid":1780140,"ns":120,"title":"Item:Q1769398","lastrevid":72916629,"modified":"2026-04-14T08:45:11Z","type":"item","id":"Q1769398","labels":{"en":{"language":"en","value":"A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 2148304"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1769398$2AE9323D-763A-493B-8C7A-CCDC55A481D7","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"5cffa0ba3565f9bca451245239edfbf920b18e5a","datavalue":{"value":{"text":"A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1769398$DEC90C9D-70E0-4B93-BD32-96B30C35D6F1","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"4807c1a607ef1e050ab2d7ba7058c0d33cf2af97","datavalue":{"value":"1068.35190","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1769398$8D7384FD-F4FC-4ABD-942E-B77D9D34CB03","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"21747a57be172ec49f3e73fb1ab33dbb99e2220c","datavalue":{"value":"10.4171/IFB/106","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1769398$6F18B140-8E39-4600-AA64-8B60CBA699A7","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"609e540341316225fadfc69dd8a46ff618fd1d57","datavalue":{"value":{"entity-type":"item","numeric-id":218407,"id":"Q218407"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1769398$F11FD53D-1FB9-4FDC-9173-D6057BB4B945","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"4d8402720b41078680ec99134b757f3bacfedb2c","datavalue":{"value":{"entity-type":"item","numeric-id":218408,"id":"Q218408"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1769398$6D7BA2F7-9605-4455-AABD-C4FDD520629D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"e540dbc8bcd2b42f7e87baa1cdd1b407577f6e54","datavalue":{"value":{"entity-type":"item","numeric-id":218409,"id":"Q218409"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1769398$313E69B5-7E51-4346-8279-8FF28A6E8E50","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"d5a5bcd44a06f3aec9537fec9198b686393a29b2","datavalue":{"value":{"entity-type":"item","numeric-id":167510,"id":"Q167510"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1769398$1EF685D2-083D-4E78-BA61-872160917183","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"11b4b9e71888c8ae87efc4750955ed379903fb79","datavalue":{"value":{"time":"+2005-03-21T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1769398$D8B308C7-BCA1-43ED-92EF-252C10C8B2B4","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"30ba6ac77d0a04dec40056949b549125e166597f","datavalue":{"value":"In [Finance Stoch. 7, No. 3, 277--298 (2003; Zbl 1064.60080)] the authors proved that the American (call/put) option valuation problem can be stated in terms of one single semilinear Black and Scholes partial differential equation set in a fixed domain. The semilinear Black and Scholes equation constitutes a starting point for designing and analyzing a variety of ``easy to implement'' numerical schemes for computing the value of an American option. To demonstrate this feature, the authors propose and analyze an upwind finite difference scheme of ``predicator-corrector type'' for the semilinear Black and Scholes equation.  The authors prove that the approximate solutions generated by the predicator-corrector scheme respect the early exercise constraint and that they converge uniformly to the American option value. A numerical example is also presented. Besides the predictor-corrector schemes, other methods for constructing approximate solution sequences are discussed and analyzed.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1769398$1F0EAB9D-DB18-43A8-8EC8-7849DD38DF9E","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"4b02198a34459a135bd2e511d886c30b9cf69d19","datavalue":{"value":"35R60","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1769398$958F348A-BD2D-4BE2-9E90-D5925C9769EA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"7b600a0bd525a05fa571487b461fe5ba90ad6e5d","datavalue":{"value":"91B28","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1769398$BF01409E-7EA1-456F-B65E-62FC30D768B0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"52d550137ef2aa5d9737ff164f6a8e6e118f84bc","datavalue":{"value":"65C30","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1769398$5622EF22-1E7D-45F7-82A6-6ADED98DC7E5","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"5694bce5fc6e7e94ffedb36c6e3844936bfb7a31","datavalue":{"value":"2148304","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1769398$D210CD74-2DCD-44B9-A69B-B1951FE3DCFE","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"2463d009f89b562012274f388078ba2784531ce9","datavalue":{"value":"American call/put option valuation","type":"string"},"datatype":"string"},"type":"statement","id":"Q1769398$28CF1C51-36C3-490D-8FD2-62AB6B66D94B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"b9422bdbb13df43d8635640c9a71960d9de8dd78","datavalue":{"value":"upwind finite difference scheme of predicator-corrector type","type":"string"},"datatype":"string"},"type":"statement","id":"Q1769398$E358905E-7A19-47C3-B2BB-77184D51AC4B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"8205005c0975ece57da73400ce9be01687bc47fd","datavalue":{"value":"approximate solutions","type":"string"},"datatype":"string"},"type":"statement","id":"Q1769398$4BC7DEDB-085B-42A0-86B6-01309424CC25","rank":"normal"}],"P12":[{"mainsnak":{"snaktype":"value","property":"P12","hash":"5b8f9aa9723bdfb15d60b19e696e1613850ae23d","datavalue":{"value":"Q115212490","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1769398$EB314959-DCAD-454A-A1B4-5DA53CE648B2","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"7b8645f97ba13d4c5d20c31abb5fc99db78fb692","datavalue":{"value":{"entity-type":"item","numeric-id":587314,"id":"Q587314"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1769398$5DD2D67B-1889-4CDB-825D-1727DAE626B1","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1769398$F504A7E2-83E3-4FD3-8C70-4748880FF59D","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"d7d2e39e8736724bf7f8b86e58adc6e019f60deb","datavalue":{"value":"https://doi.org/10.4171/ifb/106","type":"string"},"datatype":"url"},"type":"statement","id":"Q1769398$FEA8BB5C-A862-400A-A5D8-AFA60646B889","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"62567e41ae72156ad9a8dd216251477263acd635","datavalue":{"value":"W2169882516","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1769398$AD163B61-77B1-4F7E-BA96-342B4EE7C27D","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"643ee056135f16e9d51c0105a7c351c6d8fe6f5d","datavalue":{"value":{"entity-type":"item","numeric-id":1775998,"id":"Q1775998"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"913fea49a9a512e9aae5b8cf934aaba72db275de","datavalue":{"value":{"amount":"+0.8738992810249329","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1769398$DD18E797-D1FA-4BC5-AF94-183DF1112161","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"00bdf2764a2b63c2999759c1a087cde48c7f7edb","datavalue":{"value":{"entity-type":"item","numeric-id":5456303,"id":"Q5456303"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"e0412089798350a113bd39394b86c029e12b9fb0","datavalue":{"value":{"amount":"+0.8388320803642273","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1769398$1B1B4CD9-BA16-4ED7-94B2-F62EFD68474C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"d0fa35fe01abe508a18dd4471559a7ac116a0089","datavalue":{"value":{"entity-type":"item","numeric-id":3353912,"id":"Q3353912"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"d2d4e51096b2f9e4e4efdcfa4b5dc9c59ad15a6c","datavalue":{"value":{"amount":"+0.8276025652885437","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1769398$1F1F44F5-6471-4387-B8AF-57872C74C5A6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"8f182e50800f654f3fcc6145fb65828245d33790","datavalue":{"value":{"entity-type":"item","numeric-id":620987,"id":"Q620987"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"70c44974cfd27225c3dc22bbfc77b112d95ddcf4","datavalue":{"value":{"amount":"+0.8161194920539856","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1769398$2AD9FBE4-C13C-4206-9AC0-86A7F3AC96ED","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"f54ec5d49cffa9e3d08e5f5ff9812115c9673d7f","datavalue":{"value":{"entity-type":"item","numeric-id":1294336,"id":"Q1294336"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"942086e44d3ce94a277950f26d9ba0d6068fbc09","datavalue":{"value":{"amount":"+0.803726315498352","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1769398$341CC228-1C22-4AB0-BBE8-04B95953B8B1","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/A_semilinear_Black_and_Scholes_partial_differential_equation_for_valuing_American_options:_approximate_solutions_and_convergence"}}}}}