A high-order compact method for nonlinear Black–Scholes option pricing equations of American options (Q2885511): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 20:32, 3 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A high-order compact method for nonlinear Black–Scholes option pricing equations of American options |
scientific article |
Statements
A high-order compact method for nonlinear Black–Scholes option pricing equations of American options (English)
0 references
23 May 2012
0 references
nonlinear Black-Scholes equation
0 references
compact finite difference scheme
0 references
American options
0 references
high-order methods
0 references
fixed domain transformation
0 references
transaction costs
0 references
