FINITE-DIFFERENCE BISECTION ALGORITHMS FOR FREE BOUNDARIES OF AMERICAN OPTIONS
DOI10.12941/jksiam.2015.19.001zbMath1325.91059OpenAlexW1998756827MaRDI QIDQ3192913
Sunbu Kang, Taekkeun Kim, Yong-Hoon Kwon
Publication date: 14 October 2015
Published in: Journal of the Korea Society for Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.12941/jksiam.2015.19.001
fixed pointunconditional stabilityfree boundaryM-matrixbisection methodBlack-Scholes equationsupwind finite-difference schemeAmerican call and put options
Numerical methods (including Monte Carlo methods) (91G60) 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) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)