Moving boundary transformation for American call options with transaction cost: finite difference methods and computing (Q5737869)
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scientific article; zbMATH DE number 6724309
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| English | Moving boundary transformation for American call options with transaction cost: finite difference methods and computing |
scientific article; zbMATH DE number 6724309 |
Statements
Moving boundary transformation for American call options with transaction cost: finite difference methods and computing (English)
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30 May 2017
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nonlinear PDE
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free boundary
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transformation
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finite difference methods
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Newton-like method
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alternating direction explicit method
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0.8533981442451477
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0.8105549812316895
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0.8005204200744629
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0.8003025650978088
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0.7982841730117798
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