A fast, stable and accurate numerical method for the Black-Scholes equation of American options

International Journal of Theoretical and Applied Finance

Volumn 11, Issue 5, 2008, Pages 471-501

  Ehrhardt, Matthias ^a   Mickens, Ronald E ^b  

^a WEIERSTRASS INSTITUTE FOR APPLIED ANALYSIS AND STOCHASTICS   (Germany)

^b CLARK ATLANTA UNIVERSITY   (United States)

Author keywords

American option; Artificial boundary condition; Black Scholes equation; Computational finance; Finite difference method; Free boundary problem; Option pricing

Indexed keywords

EID: 50949101066     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024908004890     Document Type: Article

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