Finite-difference bisection algorithms for free boundaries of American options
fixed pointfree boundarybisection methodM-matrixunconditional stabilityBlack-Scholes equationsupwind finite-difference schemeAmerican call and put options
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
- Estimation of error in finite-difference bisection algorithm of American options
- Approximation of the free boundary of an American call option by finite differences on parallelograms
- Finite difference schemes of pricing for American call options with free and moving boundary value
- A fast high-order finite difference algorithm for pricing American options
- A Numerical Approach for the American Call Option Pricing Model
- American Options With Discrete Dividends Solved by Highly Accurate Discretizations
- Pricing equity options everywhere
- Direct computation for American put option and free boundary using finite difference method
- Approximation of the free boundary of an American call option by finite differences on parallelograms
- Estimation of error in finite-difference bisection algorithm of American options
- The difference methods with variable mesh for American option princing
- Algorithms of finite difference for pricing American options under fractional diffusion models
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