A high-order compact method for nonlinear Black–Scholes option pricing equations of American options

DOI10.1080/00207160.2011.558574zbMath1237.91228MaRDI QIDQ2885511

Matthias Ehrhardt, E. Dremkova

Publication date: 23 May 2012

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2011.558574

zbMATH Keywords

American options; high-order methods; transaction costs; compact finite difference scheme; nonlinear Black-Scholes equation; fixed domain transformation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

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

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

65N06: Finite difference methods for boundary value problems involving PDEs

Related Items

High Order Compact Schemes for Option Pricing with Liquidity Shocks, The numerical approximation of nonlinear Black–Scholes model for exotic path-dependent American options with transaction cost, Moving boundary transformation for American call options with transaction cost: finite difference methods and computing, Fourth-order compact schemes for a parabolic-ordinary system of European option pricing liquidity shocks model, A second-order positivity preserving numerical method for gamma equation, Analysis of the nonlinear option pricing model under variable transaction costs, A positivity-preserving numerical scheme for nonlinear option pricing models, High accurate modified WENO method for the solution of Black-Scholes equation, A high-order compact method for nonlinear Black–Scholes option pricing equations of American options

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