A robust finite difference scheme for pricing American put options with singularity-separating method

DOI10.1007/s11075-009-9316-xzbMath1192.91190MaRDI QIDQ964214

Zhongdi Cen, Anbo Le

Publication date: 15 April 2010

Published in: Numerical Algorithms (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11075-009-9316-x

zbMATH Keywords

central difference scheme; Black-Scholes equation; piecewise uniform mesh; option valuation; singularity-separating method

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65M12: Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs

91G20: Derivative securities (option pricing, hedging, etc.)