A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing (Q1930396): Difference between revisions

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+https://doi.org/10.1007/s10614-011-9268-9
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+W1995718228
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@@ Property / cites work @@
+Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
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+The Pricing of Options and Corporate Liabilities
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+Quadratic Convergence for Valuing American Options Using a Penalty Method
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+Operator splitting methods for American option pricing.
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+Variational inequalities and the pricing of American options
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+Far Field Boundary Conditions for Black--Scholes Equations
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+An upwind approach for an American and European option pricing model
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+Q4863379
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+A highly accurate linearized method for free boundary problems
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+Penalty methods for American options with stochastic volatility
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+Publication:1930396