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

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

Rafael Company, Lucas Jodar, 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 scheme; positivity; numerical analysis; American call option pricing; front-fixing transformation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M06: Finite difference methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)