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Journal of Computational and Applied Mathematics
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Compact finite difference method for American option pricing

descriptionPublicationkeyboard_double_arrow_right Article 01 Sep 2007 English Publisher:Elsevier BVJournal:Journal of Computational and Applied Mathematics, volume 206, pages 306-321 (issn: 0377-0427, Copyright policy )Funded by:NSERC | unidentified
Authors: Zhao, Jichao; Davison, Matt; Corless, Robert M.;

doi: 10.1016/j.cam.2006.07.006

Compact finite difference method for American option pricing

Abstract

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Keywords

Stopping times; optimal stopping problems; gambling theory, compact finite difference method, Numerical methods (including Monte Carlo methods), free boundary value, Applied Mathematics, Optimal exercise boundary, Compact finite difference method, American option pricing, Computational Mathematics, Black–Scholes equation, Free boundary value, Derivative securities (option pricing, hedging, etc.), Black-Scholes equation, Finite difference methods for initial value and initial-boundary value problems involving PDEs, optimal exercise boundary

  • BIP!
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    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 73
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Top 10%
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Top 10%
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
73
Top 10%
Top 10%
Top 10%
hybrid