Differential algorithms for American put-options of CEV on dividend-paying stock

zbMATH Open1424.91165MaRDI QIDQ5381972FDOQ5381972

Authors: Zonghuai Guo, Bing Hu, Youcai Xu 

Publication date: 21 June 2019

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zbMATH Keywords

convergencestabilityexplicit difference schemesAmerican put-options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)

Cited In (1)

• A finite difference method for solving American put option under the CEV model

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