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ArticleAdaptive θ -methods for pricing American options

Abdul Q. M. Khaliq2007

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Articlebronze2007

Adaptive θ -methods for pricing American options

Abdul Q. M. Khaliq · David Albert Voss · Kamran Kazmi

39 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Stochastic processes and financial applications Numerical methods for differential equations Differential Equations and Numerical Methods

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1994Option pricing: Mathematical models and computation 2002Quadratic Convergence for Valuing American Options Using a Penalty Method 2014An Introduction to the Mathematics of Financial Derivatives 1998Penalty methods for American options with stochastic volatility 1997Robust numerical methods for PDE models of Asian options

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2013A comparison study of ADI and operator splitting methods on option pricing models 2010On modified Mellin transforms, Gauss–Laguerre quadrature, and the valuation of American call options 2012Solving complex PDE systems for pricing American options with regime‐switching by efficient exponential time differencing schemes

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Details

Year2007

Typearticle

Published2007-10-26

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations39

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.cam.2007.10.035

openalex_workW2108220655

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