Constructing positive reliable numerical solution for American call options: A new front-fixing approach-Reference-Cited by-同舟云学术

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Constructing positive reliable numerical solution for American call options: A new front-fixing approach

Published:2016-01 Issue: Volume:291 Page:422-431
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Company R.^ORCID,Egorova V.N.^ORCID,Jódar L.^ORCID

Funder

European Union

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference21 articles.

1. Free Boundary Problems: Theory and Applications;Athanasopoulos,1999

2. Free and Moving Boundary problems;Crank,1984

3. Mathematical Models of Financial Derivatives;Kwok,2008

4. Heat conduction in a melting solid;Landau;Quart. Appl. Math.,1950

5. The Mathematics of Financial Derivatives;Wilmott,1995

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