A fast high-order finite difference algorithm for pricing American options

DOI10.1016/J.CAM.2007.10.044MaRDI QIDQ952074zbMATH OpenOpenAlexFDO

Authors Désiré Yannick Tangman, A. Gopaul, Muddun Bhuruth

Publication date 6 November 2008

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.2007.10.044

zbMATH Keywords

finite difference methodfree boundaryAmerican optionshigh-order compact schemesingularity separating

Mathematics Subject Classification ID

Initial-boundary value problems for second-order parabolic equations (35K20) Free boundary problems for PDEs (35R35) Finite difference methods for boundary value problems involving PDEs (65N06)

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Cites work

• scientific article; zbMATH DE number 2065148 (Why is no real title available?)
• A Fast Numerical Method for the Black--Scholes Equation of American Options
• Binomial models for option valuation - examining and improving convergence
• Computational Methods for Option Pricing
• Derivative securities and difference methods.
• Far field boundary conditions for Black-Scholes equations
• On the Early Exercise Boundary of the American Put Option
• On the rate of convergence of discrete-time contingent claims.
• Operator splitting methods for American option pricing.
• Optimal and near-optimal advection-diffusion finite-difference schemes. II. Unsteadiness and non-uniform grid
• Quadratic convergence for valuing American options using a penalty method
• The Mathematics of Financial Derivatives
• Variational inequalities and the pricing of American options

Cited in

(49)

• Finite-difference bisection algorithms for free boundaries of American options
• A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
• American Options With Discrete Dividends Solved by Highly Accurate Discretizations
• Numerical pricing of options using high-order compact finite difference schemes
• Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing
• High-order compact finite difference method for Black-Scholes PDE
• A numerical study of Asian option with high-order compact finite difference scheme
• A fixed point method for the linear complementarity problem arising from American option pricing
• A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance
• Pricing and simulation for real estate index options: radial basis point interpolation
• Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
• Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
• On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
• On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation
• A robust numerical simulation of a fractional Black-Scholes equation for pricing American options
• Asymptotic expansion of solutions to the Black-Scholes equation arising from American option pricing near the expiry
• Solving American option pricing models by the front fixing method: numerical analysis and computing
• PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME
• A new radial basis functions method for pricing American options under Merton's jump-diffusion model
• A Numerical Approach for the American Call Option Pricing Model
• On the acceleration of explicit finite difference methods for option pricing
• An irregular grid approach for pricing high-dimensional American options
• An artificial boundary method for the Hull-White model of American interest rate derivatives
• Compact finite difference method for American option pricing
• Pricing European and American options by radial basis point interpolation
• Sixth-order compact differencing with staggered boundary schemes and \(3(2)\) Bogacki-Shampine pairs for pricing free-boundary options
• A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
• Valuation of European continuous-installment options
• On a new family of radial basis functions: mathematical analysis and applications to option pricing
• Direct computation for American put option and free boundary using finite difference method
• Application of the finite difference algorithm to pricing of compound options
• Efficient pricing of Bermudan options using recombining quadratures
• A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction
• Conservative third-order central-upwind schemes for option pricing problems
• scientific article; zbMATH DE number 5305358 (Why is no real title available?)
• Radial-basis-function-based finite difference operator splitting method for pricing American options
• High-order compact finite difference scheme for pricing Asian option with moving boundary condition
• A robust finite difference scheme for pricing American put options with singularity-separating method
• Valuation of the American put option as a free boundary problem through a high-order difference scheme
• On boundary immobilization for one-dimensional Stefan-type problems with a moving boundary having initially parabolic-logarithmic behaviour
• A HODIE finite difference scheme for pricing American options
• An adaptive Monte Carlo algorithm for European and American options
• A fast numerical method to price American options under the Bates model
• scientific article; zbMATH DE number 6453876 (Why is no real title available?)
• Estimation of error in finite-difference bisection algorithm of American options
• The difference methods with variable mesh for American option princing
• Pricing real estate index options by compactly supported radial-polynomial basis point interpolation
• Fast and accurate calculation of American option prices
• Algorithms of finite difference for pricing American options under fractional diffusion models

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