Valuation of the American put option as a free boundary problem through a high-order difference scheme (Q2698660): Difference between revisions

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+Compact finite difference method for American option pricing
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+ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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+Optimal Stopping and the American Put
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+A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
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+On the pricing of American options
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+Optimal exercise boundary for an American put option
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+Option pricing with Mellin transforms
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+An exact and explicit solution for the valuation of American put options
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+PRICING AND HEDGING AMERICAN OPTIONS ANALYTICALLY: A PERTURBATION METHOD
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+PRICING VULNERABLE AMERICAN PUT OPTIONS UNDER JUMP–DIFFUSION PROCESSES
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+Variational inequalities and the pricing of American options
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+A Fast Numerical Method for the Black--Scholes Equation of American Options
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+Front-tracking finite difference methods for the valuation of American options
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+A fast high-order finite difference algorithm for pricing American options
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+Direct computation for American put option and free boundary using finite difference method
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+Operator splitting methods for American option pricing.
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+A new predictor-corrector scheme for valuing American puts
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+Solving American option pricing models by the front fixing method: numerical analysis and computing
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+A high-order compact method for nonlinear Black–Scholes option pricing equations of American options
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+The Mathematics of Financial Derivatives
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+PRICING OF AMERICAN PATH-DEPENDENT CONTINGENT CLAIMS
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+Quadratic Convergence for Valuing American Options Using a Penalty Method
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+CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS<sup>1</sup>
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+A simple numerical method for pricing an American put option
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+CRITICAL STOCK PRICE NEAR EXPIRATION
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+.1515/IJNSNS-2020-0252
@@ Property / DOI: 10.1515/IJNSNS-2020-0252 / rank @@
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+Publication:2698660