𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Pricing American options using a space-time adaptive finite difference method

✍ 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

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


A fast high-order finite difference algo
✍ D.Y. Tangman; A. Gopaul; M. Bhuruth πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 415 KB

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

Numerical pricing of options using high-
✍ D.Y. Tangman; A. Gopaul; M. Bhuruth πŸ“‚ Article πŸ“… 2008 πŸ› Elsevier Science 🌐 English βš– 262 KB

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