An Implicit Scheme for American Put Options-Reference-Cited by-同舟云学术

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An Implicit Scheme for American Put Options

Published:2023-09-29 Issue:2 Volume:97 Page:
ISSN:0885-7474
Container-title:Journal of Scientific Computing
language:en
Short-container-title:J Sci Comput

Author:

Chen Xinfu,Lu Zhengyang,Ma Jingtang,Shen Jinye^ORCID

Funder

National Natural Science Foundation of China

Fundamental Research Funds for the Central Universities

Publisher

Springer Science and Business Media LLC

Subject

Computational Theory and Mathematics,General Engineering,Theoretical Computer Science,Software,Applied Mathematics,Computational Mathematics,Numerical Analysis

Link

https://link.springer.com/content/pdf/10.1007/s10915-023-02356-6.pdf

Reference32 articles.

1. Allegretto, W., Lin, Y., Yang, H.: Finite element error estimates for a nonlocal problem in American option valuation. SIAM J. Numer. Anal. 39(3), 834–857 (2001)

2. Broadie, M., Detemple, J.: American option valuation: new bounds, approximations, and a comparison of existing methods. Rev. Financ. Stud. 9(4), 1211–1250 (1996)

3. Broadie, M., Glasserman, P.: Pricing american-style securities using simulation. J. Econ. Dyn. Control 21(8–9), 1323–1352 (1997)

4. Carr, P.: Randomization and the American put. Rev. Financ. Stud. 11(3), 597–626 (1998)

5. Carr, P., Jarrow, R., Myneni, R.: Alternative characterizations of American put options. Math. Financ. 2(2), 87–106 (1992)

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