A new predictor-corrector scheme for valuing American puts
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Cites work
- scientific article; zbMATH DE number 52101 (Why is no real title available?)
- scientific article; zbMATH DE number 841285 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- A penalty method for American options with jump diffusion processes
- A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence
- ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
- Advanced derivatives pricing risk management.
- An exact and explicit solution for the valuation of American put options
- Approximations for the values of american options
- CALCULATING THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS WITH AN APPROXIMATION FORMULA
- CRITICAL STOCK PRICE NEAR EXPIRATION
- Computational Science and Its Applications – ICCSA 2004
- Financial Applications of Symbolically Generated Compact Finite Difference Formulae
- Front-tracking finite difference methods for the valuation of American options
- Heat conduction in a melting solid
- Local Error Estimates for the Galerkin Method Applied to Strongly Elliptic Integral Equations on Open Curves
- Operator splitting methods for American option pricing.
- Optimal Stopping and the American Put
- Option pricing: A simplified approach
- The K-Operator and the Galerkin Method for Strongly Elliptic Equations on Smooth Curves: Local Estimates
- The pricing of options and corporate liabilities
Cited in
(13)- Approximation of American put prices by European prices via an embedding method.
- Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme
- A simple numerical method for pricing an American put option
- A modified C-N scheme for the price of American put option
- A predictor-corrector scheme based on the ADI method for pricing american puts with stochastic volatility
- Predictor-corrector balance method for the worst-case 1D option pricing
- Comparison and survey of finite difference methods for pricing American options under finite activity jump-diffusion models
- A predictor-corrector approach for pricing American options under the finite moment log-stable model
- A semilinear Black and Scholes partial differential equation for valuing American options: approximate solutions and convergence
- An efficient computational algorithm for pricing European, barrier and American options
- Valuation of the American put option as a free boundary problem through a high-order difference scheme
- A HODIE finite difference scheme for pricing American options
- Stock loan valuation under a stochastic interest rate model
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