An implicit scheme for American put options
DOI10.1007/s10915-023-02356-6zbMath1526.91030OpenAlexW4387173759MaRDI QIDQ6057151
Jin-ye Shen, Zhengyang Lu, Jingtang Ma, Xinfu Chen
Publication date: 25 October 2023
Published in: Journal of Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10915-023-02356-6
free boundary problemsAmerican put optionsparabolic variational inequalitiesimplicit finite difference methods
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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