Efficient numerical pricing of American options based on multiple shooting method: a PDE approach (Q6079793)
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scientific article; zbMATH DE number 7744425
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient numerical pricing of American options based on multiple shooting method: a PDE approach |
scientific article; zbMATH DE number 7744425 |
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Efficient numerical pricing of American options based on multiple shooting method: a PDE approach (English)
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29 September 2023
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American option pricing
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Black-Scholes equation
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multiple shooting method
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partial differential equation
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penalty method
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Richardson extrapolated method
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