A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS (Q3527432)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS |
scientific article; zbMATH DE number 5347881
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS |
scientific article; zbMATH DE number 5347881 |
Statements
A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS (English)
0 references
29 September 2008
0 references
Black-Scholes equation
0 references
computational finance
0 references
option pricing
0 references
finite difference method
0 references
artificial boundary condition
0 references
free boundary problem
0 references
American option
0 references
0 references
0 references
0 references
0 references
0.8651564717292786
0 references
0.8088393807411194
0 references
0.805223286151886
0 references
0.802920937538147
0 references
0.8022127151489258
0 references
