Finite-difference bisection algorithms for free boundaries of American options
DOI10.12941/JKSIAM.2015.19.001zbMATH Open1325.91059OpenAlexW1998756827MaRDI QIDQ3192913FDOQ3192913
Authors: 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
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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)
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- 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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