Compact finite difference method for American option pricing
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Publication:2370586
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- scientific article; zbMATH DE number 6453876
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Cites work
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- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Approximations for the values of american options
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- Derivation of high-order compact finite difference schemes for non-uniform grid using polynomial interpolation
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- Higher order accurate difference solutions of fluid mechanics problems by a compact differencing technique
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- Optimal Stopping and the American Put
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Cited in
(53)- A stable higher-order numerical method for solving a system of third-order singular Emden-Fowler type equations
- A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model
- A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
- A compact difference scheme for mixed-type time-fractional Black-Scholes equation in European option pricing
- The homotopy perturbation method for the Black–Scholes equation
- Exponential time integration and second-order difference scheme for a generalized Black-Scholes equation
- Solving high-dimensional Kolmogorov backward equations with functional hierarchical tensor operators
- An accurate solution for the generalized Black-Scholes equations governing option pricing
- An efficient numerical approach for solving three-dimensional Black-Scholes equation with stochastic volatility
- 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
- An innovative fourth-order numerical scheme with error analysis for Lane-Emden-Fowler type systems
- A compact finite difference method for a general class of nonlinear singular boundary value problems with Neumann and Robin boundary conditions
- Convergence of the compact finite difference method for second-order elliptic equations
- An uncertainty-aware, mesh-free numerical method for Kolmogorov PDEs
- 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
- Solving the Kolmogorov PDE by means of deep learning
- A fast high-order finite difference algorithm for pricing 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
- Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping
- 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
- Sequential Bayesian design for efficient surrogate construction in the inversion of Darcy flows
- On the numerical solution of nonlinear Black-Scholes equations
- A new method for evaluating options based on multiquadric RBF-FD method
- Pricing European and American options by radial basis point interpolation
- Sixth-order compact differencing with staggered boundary schemes and \(3(2)\) Bogacki-Shampine pairs for pricing free-boundary options
- Compact finite difference schemes and error estimation for third-order Emden-Fowler equations
- Compact finite differences method and Caputo fractional derivative definition for linear fractional Schrödinger equations
- A new compact alternating direction implicit method for solving two dimensional time fractional diffusion equation with Caputo-Fabrizio derivative
- Efficient meshfree method for pricing European and American put options on a non-dividend paying asset
- Numerical solution of generalized Black-Scholes model
- Variable time step operator splitting methods with stability and error estimates for pricing American options
- 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
- A HODIE finite difference scheme for pricing American options
- scientific article; zbMATH DE number 6453876 (Why is no real title available?)
- JDOI variance reduction method and the pricing of American-style options
- Algorithms of finite difference for pricing American options under fractional diffusion models
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