A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing (Q1930396)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing |
scientific article |
Statements
A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing (English)
0 references
11 January 2013
0 references
Black-Scholes equation
0 references
option valuation
0 references
power penalty method
0 references
central difference scheme
0 references
piecewise uniform mesh
0 references
