Adaptive \(\theta \)-methods for pricing American options (Q952094)
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scientific article; zbMATH DE number 5362095
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| default for all languages | No label defined |
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| English | Adaptive \(\theta \)-methods for pricing American options |
scientific article; zbMATH DE number 5362095 |
Statements
Adaptive \(\theta \)-methods for pricing American options (English)
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6 November 2008
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Black-Scholes PDE
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American options
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\(\theta \)-methods
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method of lines
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locally one-dimensional exponential splitting
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adaptive time-stepping
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0.8339352011680603
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0.7900094389915466
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0.7796381115913391
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0.7757980823516846
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