Valuation of the American put option as a free boundary problem through a high-order difference scheme
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Publication:2698660
DOI10.1515/ijnsns-2020-0252OpenAlexW3216163864MaRDI QIDQ2698660
Publication date: 24 April 2023
Published in: International Journal of Nonlinear Sciences and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/ijnsns-2020-0252
Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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