Hybrid Laplace transform and finite difference methods for pricing American options under complex models
DOI10.1016/j.camwa.2017.04.018zbMath1408.91235OpenAlexW2640165762MaRDI QIDQ1704172
Jingtang Ma, Zhiqiang Zhou, Zhen-Yu Cui
Publication date: 9 March 2018
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2017.04.018
American option pricingfinite difference methodspartial differential equationsfractional partial differential equationsLaplace transform methods
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Fractional partial differential equations (35R11)
Related Items (4)
Cites Work
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