Differential quadrature method for pricing American options

DOI10.1002/num.10028zbMath1036.91027OpenAlexW2167617367MaRDI QIDQ4795126

Zhihong Ding, Xiong-Hua Wu

Publication date: 23 February 2003

Published in: Numerical Methods for Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/num.10028

zbMATH Keywords

nonlinear differential equationsdifferential quadrature methodAmerican optionfree-boundary problem

Mathematics Subject Classification ID

Related Items (5)

Exercisability Randomization of the American Option ⋮ Differential quadrature Trefftz method for Poisson-type problems on irregular domains ⋮ Boundary reduction technique and triangular differential quadrature domain decomposition method for polygonal region ⋮ Adaptive \(\theta \)-methods for pricing American options ⋮ A radial basis function approach to compute the first-passage probability density function in two-dimensional jump-diffusion models for financial and other applications

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