A HODIE finite difference scheme for pricing American options (Q667962): Difference between revisions

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+Convergence of the trinomial tree method for pricing European/American options
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+Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
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+Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
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+A power penalty method for a 2D fractional partial differential linear complementarity problem governing two-asset American option pricing
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+On the error estimate of finite difference method for the obstacle problem
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+Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions
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+An approximate moving boundary method for American option pricing
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+A high order HODIE finite difference scheme for 1D parabolic singularly perturbed reaction-diffusion problems
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+A uniformly convergent alternating direction HODIE finite difference scheme for 2D time-dependent convection-diffusion problems
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+High order methods on Shishkin meshes for singular perturbation problems of convection-diffusion type
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+Constructing positive reliable numerical solution for American call options: a new front-fixing approach
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+Option pricing: A simplified approach
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+American options on assets with dividends near expiry
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+Convergence and biases of Monte Carlo estimates of American option prices using a parametric exercise rule
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+An efficient parallel processing optimal control scheme for a class of nonlinear composite systems
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+Positivity-preserving sixth-order implicit finite difference weighted essentially non-oscillatory scheme for the nonlinear heat equation
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+An Efficient Finite Difference Method for The Time‐Delay Optimal Control Problems With Time‐Varying Delay
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+Far Field Boundary Conditions for Black--Scholes Equations
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+Analysis of Some Difference Approximations for a Singular Perturbation Problem Without Turning Points
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+Adaptive \(\theta \)-methods for pricing American options
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+A NONSTANDARD FINITE DIFFERENCE SCHEME FOR TWO-SIDED SPACE-FRACTIONAL PARTIAL DIFFERENTIAL EQUATIONS
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+A moving boundary approach to American option pricing
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+Pricing European and American options by radial basis point interpolation
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+A fixed point method for the linear complementarity problem arising from American option pricing
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+Numerical pricing of options using high-order compact finite difference schemes
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+A fast high-order finite difference algorithm for pricing American options
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+Power penalty method for a linear complementarity problem arising from American option valuation
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+A finite difference scheme based on cubic trigonometric B-splines for a time fractional diffusion-wave equation
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+Front-fixing FEMs for the pricing of American options based on a PML technique
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+Compact finite difference method for American option pricing
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+An exact and explicit solution for the valuation of American put options
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+A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
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+A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
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+An inverse finite element method for pricing American options
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+A new predictor-corrector scheme for valuing American puts
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+Application of the singularity-separating method to American exotic option pricing
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