A Fast Numerical Method for the Black--Scholes Equation of American Options
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Numerical Analysis,Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/S0036142901390238
Reference19 articles.
1. CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE- TO CONTINUOUS-TIME FINANCIAL MODELS
2. The Pricing of Options and Corporate Liabilities
3. The Valuation of American Put Options
4. Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis
5. American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods
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