Publication:2859724
From MaRDI portal
zbMath1289.91192MaRDI QIDQ2859724
Qing-Hua Ma, Liping Wang, Zuo-liang Xu, Hai-Ying Qiao
Publication date: 19 November 2013
American put options; exponential fitted finite difference scheme; extrapolated exponential fitted finite difference scheme
91G60: Numerical methods (including Monte Carlo methods)
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
91G20: Derivative securities (option pricing, hedging, etc.)
65C30: Numerical solutions to stochastic differential and integral equations
