Solving American option pricing models by the front fixing method: numerical analysis and computing (Q1722182): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Created a new Item
 
Added link to MaRDI item.
links / mardi / namelinks / mardi / name
 

Revision as of 06:42, 1 February 2024

scientific article
Language Label Description Also known as
English
Solving American option pricing models by the front fixing method: numerical analysis and computing
scientific article

    Statements

    Solving American option pricing models by the front fixing method: numerical analysis and computing (English)
    0 references
    0 references
    0 references
    0 references
    14 February 2019
    0 references
    Summary: This paper presents an explicit finite-difference method for nonlinear partial differential equation appearing as a transformed Black-Scholes equation for American put option under logarithmic front fixing transformation. Numerical analysis of the method is provided. The method preserves positivity and monotonicity of the numerical solution. Consistency and stability properties of the scheme are studied. Explicit calculations avoid iterative algorithms for solving nonlinear systems. Theoretical results are confirmed by numerical experiments. Comparison with other approaches shows that the proposed method is accurate and competitive.
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references