Direct computation for American put option and free boundary using finite difference method
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,General Engineering
Link
http://link.springer.com/content/pdf/10.1007/s13160-012-0094-9.pdf
Reference20 articles.
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3. Brennan M., Schwartz E.: The valuation of American put option. J. Finance 32, 449–462 (1977)
4. Carr P.: Randomization and American put. Rev. Financ. Stud. 11, 597–626 (1998)
5. Carr P., Mayo A.: On the numerical evaluation of option prices in jump diffusion process. Eur. J. Finance 13, 353–372 (2007)
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