A fast high-order finite difference algorithm for pricing American options
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Publication:952074
DOI10.1016/j.cam.2007.10.044zbMath1147.91032MaRDI QIDQ952074
Muddun Bhuruth, Désiré Yannick Tangman, Ashvin Gopaul
Publication date: 6 November 2008
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2007.10.044
finite difference method; American options; free boundary; high-order compact scheme; singularity separating
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