Compact finite difference method for American option pricing
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Publication:2370586
DOI10.1016/J.CAM.2006.07.006zbMATH Open1151.91552OpenAlexW2019305020MaRDI QIDQ2370586FDOQ2370586
Jichao Zhao, Robert M. Corless, Matt Davison
Publication date: 29 June 2007
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2006.07.006
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Black-Scholes equationAmerican option pricingoptimal exercise boundarycompact finite difference methodfree boundary value
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)
Cites Work
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- Compact finite difference method for integro-differential equations
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Cited In (42)
- A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
- The homotopy perturbation method for the Black–Scholes equation
- Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
- An accurate solution for the generalized Black-Scholes equations governing option pricing
- A numerical study of Asian option with high-order compact finite difference scheme
- A fixed point method for the linear complementarity problem arising from American option pricing
- A very efficient approach to compute the first-passage probability density function in a time-changed Brownian model: applications in finance
- A compact finite difference method for a general class of nonlinear singular boundary value problems with Neumann and Robin boundary conditions
- COMPACT FINITE DIFFERENCES METHOD AND CAPUTO FRACTIONAL DERIVATIVE DEFINITION FOR LINEAR FRACTIONAL SCHRÖDINGER EQUATIONS
- Convergence of the compact finite difference method for second-order elliptic equations
- Solving the Kolmogorov PDE by means of deep learning
- Pricing European and American options using a very fast and accurate scheme: the meshless local Petrov-Galerkin method
- Local weak form meshless techniques based on the radial point interpolation (RPI) method and local boundary integral equation (LBIE) method to evaluate European and American options
- On modified Mellin transforms, Gauss-Laguerre quadrature, and the valuation of American call options
- On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation
- Calibration of the double Heston model and an analytical formula in pricing American put option
- Rannacher time-marching with orthogonal spline collocation method for retrieving the discontinuous behavior of hedging parameters
- Compact finite difference methods for high order integro-differential equations
- A robust spline collocation method for pricing American put options
- A sixth order numerical method and its convergence for generalized Black-Scholes PDE
- Exercisability Randomization of the American Option
- A new higher order compact finite difference method for generalised Black-Scholes partial differential equation: European call option
- On the numerical solution of nonlinear Black-Scholes equations
- A new method for evaluating options based on multiquadric RBF-FD method
- Sixth-order compact differencing with staggered boundary schemes and \(3(2)\) Bogacki-Shampine pairs for pricing free-boundary options
- Pricing European and American options by radial basis point interpolation
- A new compact alternating direction implicit method for solving two dimensional time fractional diffusion equation with Caputo-Fabrizio derivative
- Numerical solution of generalized Black-Scholes model
- Accurate numerical method for pricing two-asset American put options
- Efficient pricing of Bermudan options using recombining quadratures
- Highly accurate compact mixed methods for two point boundary value problems
- A highly accurate algorithm for retrieving the predicted behavior of problems with piecewise-smooth initial data
- High-order compact finite difference scheme for pricing Asian option with moving boundary condition
- An efficient computational algorithm for pricing European, barrier and American options
- Polynomial algebra for Birkhoff interpolants
- Valuation of the American put option as a free boundary problem through a high-order difference scheme
- Title not available (Why is that?)
- A HODIE finite difference scheme for pricing American options
- Efficient Meshfree Method for Pricing European and American Put Options on a Non-dividend Paying Asset
- JDOI variance reduction method and the pricing of American-style options
- Algorithms of finite difference for pricing American options under fractional diffusion models
- A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
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