Solving American option pricing models by the front fixing method: numerical analysis and computing

DOI10.1155/2014/146745zbMath1470.91324WikidataQ59035493 ScholiaQ59035493MaRDI QIDQ1722182

Rafael Company, Lucas Jodar, Vera N. Egorova

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/146745

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)