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

DOI10.13413/J.CNKI.JDXBLXB.2017.04.21MaRDI QIDQ4640540zbMATH OpenFDO

Authors Wenwen Zhao, Qi Zhang, Xianrui Lv

Publication date 25 May 2018

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)

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• 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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