Constructing positive reliable numerical solution for American call options: a new front-fixing approach (Q491062): Difference between revisions
From MaRDI portal
Normalize DOI. |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1016/J.CAM.2014.09.013 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1016/J.CAM.2014.09.013 / rank | |||
Normal rank | |||
Latest revision as of 19:16, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constructing positive reliable numerical solution for American call options: a new front-fixing approach |
scientific article |
Statements
Constructing positive reliable numerical solution for American call options: a new front-fixing approach (English)
0 references
24 August 2015
0 references
American call option pricing
0 references
finite difference scheme
0 references
front-fixing transformation
0 references
numerical analysis
0 references
positivity
0 references
0 references
0 references
