Publication:2859724

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zbMath1289.91192MaRDI QIDQ2859724

Qing-Hua Ma, Liping Wang, Zuo-liang Xu, Hai-Ying Qiao

Publication date: 19 November 2013

zbMATH Keywords

American put options; exponential fitted finite difference scheme; extrapolated exponential fitted finite difference scheme

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)

65C30: Numerical solutions to stochastic differential and integral equations

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