Finite difference method for solving American option based on Landau's transformation

DOI10.13413/J.CNKI.JDXBLXB.2017.04.21zbMATH Open1399.65187MaRDI QIDQ4640540FDOQ4640540

Authors: Wenwen Zhao, Qi Zhang, Xianrui Lv 

Publication date: 25 May 2018

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zbMATH Keywords

finite difference methodAmerican put optionLandau's transformation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Numerical computation of solutions to systems of equations (65H10) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Financial applications of other theories (91G80)

Cited In (3)

• American option pricing problem transformed on finite interval
• The numerical solution of the American option pricing problem. Finite difference and transform approaches
• Moving boundary transformation for American call options with transaction cost: finite difference methods and computing

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