Pricing American options using a space-time adaptive finite difference method
β Scribed by Jonas Persson; Lina von Sydow
- Book ID
- 108200484
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 577 KB
- Volume
- 80
- Category
- Article
- ISSN
- 0378-4754
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π SIMILAR VOLUMES
We describe an improvement of Han and Wu's algorithm [H. Han, X.Wu, A fast numerical method for the Black-Scholes equation of American options, SIAM J. Numer. Anal. 41 (6) (2003Anal. 41 (6) ( ) 2081Anal. 41 (6) ( -2095] ] for American options. A high-order optimal compact scheme is used to discretis
We consider high-order compact (HOC) schemes for quasilinear parabolic partial differential equations to discretise the Black-Scholes PDE for the numerical pricing of European and American options. We show that for the heat equation with smooth initial conditions, the HOC schemes attain clear fourth