Estimation of error in finite-difference bisection algorithm of American options

MaRDI QIDQ5192261zbMATH OpenFDO

Authors Bong Jo Kim

Publication date 4 August 2009

Full work available at URL http://www.m-hikari.com/ijcms-password2009/1-4-2009/index.html

zbMATH Keywords

American optionerror functionfinite-difference bisection algorithmfree boundary

Mathematics Subject Classification ID

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Cited in

(5)

• Sharp error estimate for implicit finite element scheme for American put option
• Finite-difference bisection algorithms for free boundaries of American options
• Analysis of Quantization Error in Financial Pricing via Finite Difference Methods
• Error analysis of finite difference and Markov chain approximations for option pricing
• Computable error estimates of a finite difference scheme for option pricing in exponential Lévy models

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