A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
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Publication:3527432
DOI10.1142/S0219024908004890zbMath1185.91175MaRDI QIDQ3527432
Ronald E. Mickens, Matthias Ehrhardt
Publication date: 29 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
finite difference method; free boundary problem; option pricing; Black-Scholes equation; American option; artificial boundary condition; computational finance
91G60: Numerical methods (including Monte Carlo methods)
65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs
91G20: Derivative securities (option pricing, hedging, etc.)
