The difference methods with variable mesh for American option princing

MaRDI QIDQ5319775zbMATH OpenFDO

Authors Tie Zhang, Danmei Zhu

Publication date 22 July 2009

zbMATH Keywords

American option pricingconvergencefree boundary problemnumerical computationstabilityvariable meshes difference scheme

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Numerical methods for ill-posed problems for initial value and initial-boundary value problems involving PDEs (65M30) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Programming in abstract spaces (90C48)

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Cited in

(3)

• A nonuniform grid method for solving PDE's
• Variable time-stepping hybrid finite difference methods for pricing binary options
• A Discontinuous Galerkin Method for Pricing American Options Under the Constant Elasticity of Variance Model

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