Rational Spectral Collocation Method for Pricing American Vanilla and Butterfly Spread Options

DOI10.1007/978-3-319-20239-6_35zbMath1410.91463MaRDI QIDQ2942223

Kailash C. Patidar, Edgard Ngounda, Edson Pindza

Publication date: 20 August 2015

Published in: Finite Difference Methods,Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-20239-6_35

zbMATH Keywords

American options; rational spectral collocation method; butterfly spread options

Mathematics Subject Classification ID

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

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

35R35: Free boundary problems for PDEs