An implicit scheme for American put options (Q6057151): Difference between revisions

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+Finite Element Error Estimates for a Nonlocal Problem in American Option Valuation
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+Pricing American-style securities using simulation
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+Randomization and the American Put
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+ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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+A HODIE finite difference scheme for pricing American options
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+A robust finite difference scheme for pricing American put options with singularity-separating method
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+Stability and error analysis of operator splitting methods for American options under the Black-Scholes model
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+A Mathematical Analysis of the Optimal Exercise Boundary for American Put Options
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+Convergence rate of free boundary of numerical scheme for American option
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+Intensity-based framework and penalty formulation of optimal stopping problems
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+Q5200620
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+The valuation of American call options on the minimum of two dividend-paying assets
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+The Valuation of American Options for a Class of Diffusion Processes
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+Q3678248
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+Optimal convergence rate of the explicit finite difference scheme for American option valuation
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+Operator splitting methods for American option pricing.
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+Q5709400
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+Mathematical models of financial derivatives
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+Pricing and exercising American options: an asymptotic expansion approach
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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+LAPLACE BOUNDS APPROXIMATION FOR AMERICAN OPTIONS
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+CTMC integral equation method for American options under stochastic local volatility models
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+Valuing American options under the CEV model by Laplace-Carson transforms
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+Numerical analysis on binomial tree methods for a jump-diffusion model.
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+Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
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+Application of the singularity-separating method to American exotic option pricing
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