A predictor-corrector approach for pricing American options under the finite moment log-stable model (Q493985)
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scientific article; zbMATH DE number 6479180
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| English | A predictor-corrector approach for pricing American options under the finite moment log-stable model |
scientific article; zbMATH DE number 6479180 |
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A predictor-corrector approach for pricing American options under the finite moment log-stable model (English)
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7 September 2015
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fractional partial differential equation
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free boundary problem
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predictor-corrector
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spectral-collocation method
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American options
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0.828971266746521
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0.8033290505409241
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0.8032538890838623
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0.7986676096916199
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