A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
type: Item
instance of: scholarly article
title: A FAST, STABLE AND ACCURATE NUMERICAL METHOD FOR THE BLACK–SCHOLES EQUATION OF AMERICAN OPTIONS
zbMATH Open document ID: 1185.91175
DOI: 10.1142/S0219024908004890
author: Matthias Ehrhardt
author: Ronald E. Mickens
published in: International Journal of Theoretical and Applied Finance
publication date: 2008-09-29T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65M06
zbMATH DE Number: 5347881
zbMATH Keywords: Black-Scholes equation
zbMATH Keywords: computational finance
zbMATH Keywords: option pricing
zbMATH Keywords: finite difference method
zbMATH Keywords: artificial boundary condition
zbMATH Keywords: free boundary problem
zbMATH Keywords: American option
MaRDI profile type: MaRDI publication profile
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description: scientific article; zbMATH DE number 5347881