A fast high-order finite difference algorithm for pricing American options (Q952074)
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scientific article; zbMATH DE number 5362083
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| English | A fast high-order finite difference algorithm for pricing American options |
scientific article; zbMATH DE number 5362083 |
Statements
A fast high-order finite difference algorithm for pricing American options (English)
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6 November 2008
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American options
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free boundary
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finite difference method
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high-order compact scheme
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singularity separating
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0.8510006070137024
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0.8432506322860718
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0.8412353992462158
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