A front-fixing ETD numerical method for solving jump-diffusion American option pricing problems
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Publication:2666189
DOI10.1016/j.matcom.2020.07.015MaRDI QIDQ2666189
Rafael Company, Lucas Jodar, Vera N. Egorova
Publication date: 22 November 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2020.07.015
American option pricing; Gauss quadrature; finite difference methods; exponential time differencing; front-fixing method; experimental numerical analysis
65-XX: Numerical analysis
91-XX: Game theory, economics, finance, and other social and behavioral sciences