Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing

DOI10.1016/j.cam.2016.03.001zbMath1349.65280MaRDI QIDQ273385

Carlos Vázquez, Rafael Company, Lucas Jodar, Vera N. Egorova

Publication date: 22 April 2016

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.2016.03.001

zbMATH Keywords

finite difference method; American options; numerical analysis; irrational exercise; nonlinear Black-Scholes equations

Mathematics Subject Classification ID

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

60G40: Stopping times; optimal stopping problems; gambling theory

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations