Constructing positive reliable numerical solution for American call options: a new front-fixing approach (Q491062): Difference between revisions

@@ Property / DOI @@
-.1016/j.cam.2014.09.013
@@ Property / DOI: 10.1016/j.cam.2014.09.013 / rank @@
-Normal rank
@@ Property / author @@
-Rafael Company
@@ Property / author: Rafael Company / rank @@
-Normal rank
@@ Property / author @@
-Vera N. Egorova
@@ Property / author: Vera N. Egorova / rank @@
-Normal rank
@@ Property / author @@
-Lucas Jodar
@@ Property / author: Lucas Jodar / rank @@
-Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M06
@@ Property / Mathematics Subject Classification ID: 65M06 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6475027
@@ Property / zbMATH DE Number: 6475027 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+American call option pricing
@@ Property / zbMATH Keywords: American call option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+finite difference scheme
@@ Property / zbMATH Keywords: finite difference scheme / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+front-fixing transformation
@@ Property / zbMATH Keywords: front-fixing transformation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+numerical analysis
@@ Property / zbMATH Keywords: numerical analysis / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+positivity
@@ Property / zbMATH Keywords: positivity / rank @@
+Normal rank
@@ Property / author @@
+Rafael Company
@@ Property / author: Rafael Company / rank @@
+Normal rank
@@ Property / author @@
+Vera N. Egorova
@@ Property / author: Vera N. Egorova / rank @@
+Normal rank
@@ Property / author @@
+Lucas Jodar
@@ Property / author: Lucas Jodar / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.cam.2014.09.013
+Normal rank
@@ Property / OpenAlex ID @@
+W1991106810
@@ Property / OpenAlex ID: W1991106810 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4257141
@@ Property / cites work: Q4257141 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3338613
@@ Property / cites work: Q3338613 / rank @@
+Normal rank
@@ Property / cites work @@
+Mathematical models of financial derivatives
@@ Property / cites work: Mathematical models of financial derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+Heat conduction in a melting solid
@@ Property / cites work: Heat conduction in a melting solid / rank @@
+Normal rank
@@ Property / cites work @@
+The Mathematics of Financial Derivatives
@@ Property / cites work: The Mathematics of Financial Derivatives / rank @@
+Normal rank
@@ Property / cites work @@
+Solving American option pricing models by the front fixing method: numerical analysis and computing
+Normal rank
@@ Property / cites work @@
+A simple numerical method for pricing an American put option
+Normal rank
@@ Property / cites work @@
+On the numerical solution of nonlinear Black-Scholes equations
+Normal rank
@@ Property / cites work @@
+Front-fixing FEMs for the pricing of American options based on a PML technique
+Normal rank
@@ Property / cites work @@
+Far Field Boundary Conditions for Black--Scholes Equations
+Normal rank
@@ Property / cites work @@
+Q4830373
@@ Property / cites work: Q4830373 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3696432
@@ Property / cites work: Q3696432 / rank @@
+Normal rank
@@ Property / cites work @@
+A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
+Normal rank
@@ Property / cites work @@
+A Fast Numerical Method for the Black--Scholes Equation of American Options
+Normal rank
@@ Property / cites work @@
+Q4841246
@@ Property / cites work: Q4841246 / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.CAM.2014.09.013
@@ Property / DOI: 10.1016/J.CAM.2014.09.013 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:491062