Constructing positive reliable numerical solution for American call options: a new front-fixing approach

DOI10.1016/j.cam.2014.09.013zbMath1329.91138OpenAlexW1991106810MaRDI QIDQ491062

Lucas Jodar, Rafael Company, Vera N. Egorova

Publication date: 24 August 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2014.09.013

zbMATH Keywords

finite difference schemepositivitynumerical analysisAmerican call option pricingfront-fixing transformation

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)

Related Items (12)

Finite difference methods for pricing American put option with rationality parameter: numerical analysis and computing ⋮ On the efficiency of 5(4) RK-embedded pairs with high order compact scheme and Robin boundary condition for options valuation ⋮ A front-fixing numerical method for a free boundary nonlinear diffusion logistic population model ⋮ Efficient numerical pricing of American options based on multiple shooting method: a PDE approach ⋮ An efficient numerical method for the valuation of American multi-asset options ⋮ Fast and accurate calculation of American option prices ⋮ Editorial: Mathematical modeling and computational methods ⋮ Numerical Analysis of Novel Finite Difference Methods ⋮ An adaptive and explicit fourth order Runge-Kutta-Fehlberg method coupled with compact finite differencing for pricing American put options ⋮ A HODIE finite difference scheme for pricing American options ⋮ Moving boundary transformation for American call options with transaction cost: finite difference methods and computing ⋮ A new efficient numerical method for solving American option under regime switching model

Cites Work

• Mathematical models of financial derivatives
• On the numerical solution of nonlinear Black-Scholes equations
• Solving American option pricing models by the front fixing method: numerical analysis and computing
• A consistent stable numerical scheme for a nonlinear option pricing model in illiquid markets
• A simple numerical method for pricing an American put option
• Far Field Boundary Conditions for Black--Scholes Equations
• A Fast Numerical Method for the Black--Scholes Equation of American Options
• The Mathematics of Financial Derivatives
• Front-fixing FEMs for the pricing of American options based on a PML technique
• Heat conduction in a melting solid
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Constructing positive reliable numerical solution for American call options: a new front-fixing approach