A fast high-order finite difference algorithm for pricing American options (Q952074)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A fast high-order finite difference algorithm for pricing American options |
scientific article |
Statements
A fast high-order finite difference algorithm for pricing American options (English)
0 references
6 November 2008
0 references
American options
0 references
free boundary
0 references
finite difference method
0 references
high-order compact scheme
0 references
singularity separating
0 references
0 references
