Adaptive \(\theta \)-methods for pricing American options

DOI10.1016/j.cam.2007.10.035zbMath1151.91521OpenAlexW2108220655MaRDI QIDQ952094

Abdul Q. M. Khaliq, Kamran Kazmi, David A. Voss

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.2007.10.035

zbMATH Keywords

method of linesAmerican optionsadaptive time-steppingBlack-Scholes PDE\(\theta \)-methodslocally one-dimensional exponential splitting

Mathematics Subject Classification ID

Numerical methods for initial value problems involving ordinary differential equations (65L05)

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Cites Work

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