A linearly implicit predictor–corrector scheme for pricing American options using a penalty method approach
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference13 articles.
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2. Stability and asymptotic behavior of a numerical solution corresponding to a diffusion–reaction equation solved by a finite difference scheme (Crank–Nicolson);Cherruault;Comput. Math. Appl.,1990
3. Robustness of the Black and Scholes Formula;El Karoui;Math. Finan.,1998
4. Options, Futures and Other Derivatives;Hull,1997
5. A PDE method for computing moments;Little;J. Comput. Fin.,2000
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