APPROXIMATION OF THE FREE BOUNDARY OF AN AMERICAN CALL OPTION BY FINITE DIFFERENCES ON PARALLELOGRAMS

DOI10.12732/ijam.v28i6.4zbMath1343.91046OpenAlexW2271212230MaRDI QIDQ5740967

Juan C. Aguilar

Publication date: 20 July 2016

Published in: International Journal of Apllied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.12732/ijam.v28i6.4

zbMATH Keywords

Newton's methodfinite differencesfree boundaryBlack-Scholes equationAmerican call optionCrank-Nicolson discretization method

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) Numerical methods for inverse problems for initial value and initial-boundary value problems involving PDEs (65M32)

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