A HODIE finite difference scheme for pricing American options
DOI10.1186/s13662-018-1917-zzbMath1458.91224OpenAlexW2922053463MaRDI QIDQ667962
Publication date: 4 March 2019
Published in: Advances in Difference Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13662-018-1917-z
Numerical methods (including Monte Carlo methods) (91G60) 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) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (10)
Cites Work
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