Numerical algorithm of an American stock option pricing

MaRDI QIDQ5142818zbMATH OpenFDO

Authors

Publication date 14 January 2021

zbMATH Keywords

American option pricingGARCH(1, 1) modelHopscotch methods

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(3)

• The stock value based on the GCS-BP's option pricing model
• scientific article; zbMATH DE number 5631873 (Why is no real title available?)
• AUTOMATED OPTION PRICING: NUMERICAL METHODS

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