Finite-difference bisection algorithms for free boundaries of American options (Q3192913)
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scientific article; zbMATH DE number 6494196
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| English | Finite-difference bisection algorithms for free boundaries of American options |
scientific article; zbMATH DE number 6494196 |
Statements
FINITE-DIFFERENCE BISECTION ALGORITHMS FOR FREE BOUNDARIES OF AMERICAN OPTIONS (English)
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14 October 2015
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American call and put options
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Black-Scholes equations
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free boundary
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fixed point
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upwind finite-difference scheme
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M-matrix
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bisection method
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unconditional stability
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0.8417803049087524
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0.8333620429039001
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0.8310183882713318
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0.8285329341888428
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0.815409243106842
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