A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing (Q1930396)
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scientific article; zbMATH DE number 6124507
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing |
scientific article; zbMATH DE number 6124507 |
Statements
A second-order difference scheme for the penalized Black-Scholes equation governing American put option pricing (English)
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11 January 2013
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Black-Scholes equation
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option valuation
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power penalty method
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central difference scheme
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piecewise uniform mesh
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0.8722246289253235
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0.8676764369010925
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0.8649352192878723
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0.8404547572135925
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