A finite difference method for American option of two risky assets

MaRDI QIDQ3501674zbMATH OpenFDO

Authors Yaogu Huang

Publication date 3 June 2008

zbMATH Keywords

option pricingblock-tridiagonal matricesimplicit finite difference

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cited in

(7)

• Finite difference method for pricing problem of American multi-asset option
• Pricing equity options everywhere
• A two-grid penalty method for American options
• scientific article; zbMATH DE number 7267251 (Why is no real title available?)
• Solving finite difference schemes arising in trivariate option pricing.
• scientific article; zbMATH DE number 6452735 (Why is no real title available?)
• Parabolic ADI Methods for Pricing American Options on Two Stocks

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