Moving boundary transformation for American call options with transaction cost: finite difference methods and computing (Q5737869)
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scientific article; zbMATH DE number 6724309
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Moving boundary transformation for American call options with transaction cost: finite difference methods and computing |
scientific article; zbMATH DE number 6724309 |
Statements
Moving boundary transformation for American call options with transaction cost: finite difference methods and computing (English)
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30 May 2017
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nonlinear PDE
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free boundary
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transformation
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finite difference methods
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Newton-like method
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alternating direction explicit method
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