Prediction-correction method for pricing American options

DOI10.13413/J.CNKI.JDXBLXB.2015.06.14MaRDI QIDQ2992840zbMATH OpenFDO

Authors Wenwen Zhao, Yuan Yuan, Benxi Zhu, Xianrui Lü

Publication date 10 August 2016

zbMATH Keywords

American optionfinite difference methodprediction-correction method

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(2)

• Predictor-corrector balance method for the worst-case 1D option pricing
• A new predictor-corrector scheme for valuing American puts

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