American option pricing problem transformed on finite interval (Q5739583): Difference between revisions

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+Tihomir B. Gyulov
@@ Property / author: Tihomir B. Gyulov / rank @@
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+Radoslav L. Valkov
@@ Property / author: Radoslav L. Valkov / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/00207160.2014.906587
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@@ Property / OpenAlex ID @@
+W2027882202
@@ Property / OpenAlex ID: W2027882202 / rank @@
+Normal rank
@@ 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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@@ Property / cites work @@
+A robust finite difference scheme for pricing American put options with singularity-separating method
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+A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
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+Quadratic Convergence for Valuing American Options Using a Penalty Method
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@@ Property / cites work @@
+Numerical solution of problems in unbounded regions: coordinate transforms
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@@ Property / cites work @@
+A Fast Numerical Method for the Black--Scholes Equation of American Options
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@@ Property / cites work @@
+Far Field Boundary Conditions for Black--Scholes Equations
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@@ Property / cites work @@
+Q5652137
@@ Property / cites work: Q5652137 / rank @@
+Normal rank
@@ Property / cites work @@
+Analysis of the free boundary for the pricing of an American call option
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@@ Property / cites work @@
+Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval
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@@ Property / cites work @@
+An upwind approach for an American and European option pricing model
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@@ Property / cites work @@
+A novel fitted finite volume method for the Black-Scholes equation governing option pricing
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@@ Property / cites work @@
+Power penalty method for a linear complementarity problem arising from American option valuation
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@@ Property / cites work @@
+Pricing American bond options using a penalty method
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@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
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@@ links / mardi / name / links / mardi / name @@
+Publication:5739583