Constructing positive reliable numerical solution for American call options: a new front-fixing approach

DOI10.1016/J.CAM.2014.09.013zbMath1329.91138OpenAlexW1991106810MaRDI QIDQ491062

Lucas Jodar, Rafael Company, Vera N. Egorova

Publication date: 24 August 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.09.013

zbMATH Keywords

finite difference schemepositivitynumerical analysisAmerican call option pricingfront-fixing transformation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (12)

Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing ⋮ On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation ⋮ A front-fixing numerical method for a free boundary nonlinear diffusion logistic population model ⋮ Efficient numerical pricing of American options based on multiple shooting method: a PDE approach ⋮ An efficient numerical method for the valuation of American multi-asset options ⋮ Fast and accurate calculation of American option prices ⋮ Editorial: Mathematical modeling and computational methods ⋮ Numerical Analysis of Novel Finite Difference Methods ⋮ An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options ⋮ A HODIE finite difference scheme for pricing American options ⋮ Moving boundary transformation for American call options with transaction cost: finite difference methods and computing ⋮ A new efficient numerical method for solving American option under regime switching model

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• Heat conduction in a melting solid

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