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

@@ Property / cites work @@
+Convergence of a fitted finite volume method for the penalized Black-Scholes equation governing European and American option pricing
+Normal rank
@@ Property / cites work @@
+A robust finite difference scheme for pricing American put options with singularity-separating method
+Normal rank
@@ Property / cites work @@
+A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
+Normal rank
@@ Property / cites work @@
+Quadratic Convergence for Valuing American Options Using a Penalty Method
+Normal rank
@@ Property / cites work @@
+Numerical solution of problems in unbounded regions: coordinate transforms
+Normal rank
@@ Property / cites work @@
+A Fast Numerical Method for the Black--Scholes Equation of American Options
+Normal rank
@@ Property / cites work @@
+Far Field Boundary Conditions for Black--Scholes Equations
+Normal rank
@@ 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
+Normal rank
@@ Property / cites work @@
+Fitted finite volume method for a generalized Black-Scholes equation transformed on finite interval
+Normal rank
@@ Property / cites work @@
+An upwind approach for an American and European option pricing model
+Normal rank
@@ Property / cites work @@
+A novel fitted finite volume method for the Black-Scholes equation governing option pricing
+Normal rank
@@ Property / cites work @@
+Power penalty method for a linear complementarity problem arising from American option valuation
+Normal rank
@@ Property / cites work @@
+Pricing American bond options using a penalty method
+Normal rank
@@ Property / cites work @@
+Penalty methods for American options with stochastic volatility
+Normal rank