A predictor-corrector approach for pricing American options under the finite moment log-stable model
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Publication:493985
DOI10.1016/j.apnum.2015.06.004zbMath1329.91136OpenAlexW1902909323MaRDI QIDQ493985
Xiang Xu, Song-Ping Zhu, Wen-Ting Chen
Publication date: 7 September 2015
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2015.06.004
free boundary problemAmerican optionspredictor-correctorfractional partial differential equationspectral-collocation method
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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