A robust spline collocation method for pricing American put options

DOI10.1155/2019/1753782zbMath1453.91107MaRDI QIDQ2296452

Zhongdi Cen, Aimin Xu, Anbo Le

Publication date: 18 February 2020

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/1753782

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60G40: Stopping times; optimal stopping problems; gambling theory

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

65L60: Finite element, Rayleigh-Ritz, Galerkin and collocation methods for ordinary differential equations