Finite difference approximation for pricing the American lookback option

DOI10.4208/JCM.2009.27.4.015MaRDI QIDQ5901000zbMATH OpenOpenAlexFDO

Authors Tie Zhang, Shuhua Zhang, Danmei Zhu

Publication date 8 July 2010

Published in Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/jcm.2009.27.4.015

zbMATH Keywords

American lookback optionsconvergenceerror estimatesfinite difference approximationstability

Mathematics Subject Classification ID

Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Auctions, bargaining, bidding and selling, and other market models (91B26)

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