A new predictor-corrector scheme for valuing American puts (Q620987): Difference between revisions

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+https://doi.org/10.1016/j.amc.2010.10.044
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+W2035981590
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+Q3408677
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+CRITICAL STOCK PRICE NEAR EXPIRATION
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+Approximations for the values of american options
@@ Property / cites work: Approximations for the values of american options / rank @@
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+A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence
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+The Pricing of Options and Corporate Liabilities
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+ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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+Computational Science and Its Applications – ICCSA 2004
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+Option pricing: A simplified approach
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+A penalty method for American options with jump diffusion processes
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+Operator splitting methods for American option pricing.
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+Optimal Stopping and the American Put
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+Front-tracking finite difference methods for the valuation of American options
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+The K-Operator and the Galerkin Method for Strongly Elliptic Equations on Smooth Curves: Local Estimates
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+Local Error Estimates for the Galerkin Method Applied to Strongly Elliptic Integral Equations on Open Curves
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+Financial Applications of Symbolically Generated Compact Finite Difference Formulae
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+An exact and explicit solution for the valuation of American put options
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+A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
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+CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA
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+Publication:620987