Spectral methods for the Black-Scholes model of American options valuation (Q2924754)
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scientific article; zbMATH DE number 6365120
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| English | Spectral methods for the Black-Scholes model of American options valuation |
scientific article; zbMATH DE number 6365120 |
Statements
3 November 2014
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American option pricing
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Black-Scholes model
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optimal exercise boundary
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Chebyshev spectral method
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Spectral methods for the Black-Scholes model of American options valuation (English)
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0.8373191356658936
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0.8199843764305115
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0.8198740482330322
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