American Options With Discrete Dividends Solved by Highly Accurate Discretizations

DOI10.1007/3-540-28073-1_67zbMath1308.91190OpenAlexW192255092MaRDI QIDQ3618340

C. C. W. Leentvaar, Cornelis W. Oosterlee

Publication date: 31 March 2009

Published in: Progress in Industrial Mathematics at ECMI 2004 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/3-540-28073-1_67

zbMATH Keywords

American optionsBlack-Scholes modelstretched griddiscrete dividend4th order discretization

Mathematics Subject Classification ID

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

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