Error estimates for approximations of American put option price
DOI10.2478/cmam-2012-0007zbMath1284.65107arXiv1109.4032OpenAlexW2001192392MaRDI QIDQ2442033
Publication date: 31 March 2014
Published in: Computational Methods in Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.4032
optimal controlHamilton-Jacobi-Bellman equationfinite difference methodoptimal stoppingAmerican put option
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Free boundary problems for PDEs (35R35)
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