Optimal convergence rate of the explicit finite difference scheme for American option valuation
DOI10.1016/J.CAM.2008.12.018zbMATH Open1175.91180OpenAlexW2068573648WikidataQ116009526 ScholiaQ116009526MaRDI QIDQ2390004FDOQ2390004
Lishang Jiang, Jin Liang, Bei Hu
Publication date: 20 July 2009
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.2008.12.018
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems for second-order parabolic equations (35K15) Microeconomic theory (price theory and economic markets) (91B24)
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Cited In (22)
- On the integral relationship between the early exercise boundary and the value function of the American put option
- Numerical treatment to a non-local parabolic free boundary problem arising in financial bubbles
- Title not available (Why is that?)
- Convergence of the finite difference scheme for a general class of the spatial segregation of reaction-diffusion systems
- An efficient and provable sequential quadratic programming method for American and swing option pricing
- 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
- A European option general first-order error formula
- Convergence rate of free boundary of numerical scheme for American option
- Option convergence rate with geometric random walks approximations
- On the acceleration of explicit finite difference methods for option pricing
- Pricing real estate index options under stochastic interest rates
- An error estimate for the finite difference scheme for one-phase obstacle problem
- The randomized American option as a classical solution to the penalized problem
- Pricing European and American options by radial basis point interpolation
- An implicit scheme for American put options
- An Error Analysis of a Finite Element Method with IMEX-Time Semidiscretizations for Some Partial Integro-differential Inequalities Arising in the Pricing of American Options
- Efficient pricing of Bermudan options using recombining quadratures
- Can high-order convergence of European option prices be achieved with common CRR-type binomial trees?
- Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
- Iterative scheme for an elliptic non-local free boundary problem
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