Approximation of the free boundary of an American call option by finite differences on parallelograms (Q5740967)
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scientific article; zbMATH DE number 6605118
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| English | Approximation of the free boundary of an American call option by finite differences on parallelograms |
scientific article; zbMATH DE number 6605118 |
Statements
APPROXIMATION OF THE FREE BOUNDARY OF AN AMERICAN CALL OPTION BY FINITE DIFFERENCES ON PARALLELOGRAMS (English)
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20 July 2016
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American call option
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free boundary
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Black-Scholes equation
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Crank-Nicolson discretization method
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Newton's method
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finite differences
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0.8513928055763245
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0.8333620429039001
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0.8248162269592285
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0.8186417818069458
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0.8178223967552185
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