A Simple Numerical Method for Pricing an American Put Option
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DOI: 10.1155/2013/128025
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Cited by:
- Lee, Jung-Kyung, 2020. "A simple numerical method for pricing American power put options," Chaos, Solitons & Fractals, Elsevier, vol. 139(C).
- D. Belomestny & M. Kaledin & J. Schoenmakers, 2019. "Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm," Papers 1906.09431, arXiv.org.
- Jung-Kyung Lee, 2020. "On a Free Boundary Problem for American Options Under the Generalized Black–Scholes Model," Mathematics, MDPI, vol. 8(9), pages 1-11, September.
- Chinonso Nwankwo & Weizhong Dai, 2020. "An Adaptive and Explicit Fourth Order Runge-Kutta-Fehlberg Method Coupled with Compact Finite Differencing for Pricing American Put Options," Papers 2007.04408, arXiv.org, revised Jul 2021.
- Chinonso Nwankwo & Weizhong Dai, 2020. "Explicit RKF-Compact Scheme for Pricing Regime Switching American Options with Varying Time Step," Papers 2012.09820, arXiv.org, revised Feb 2022.
- Denis Belomestny & Maxim Kaledin & John Schoenmakers, 2020. "Semitractability of optimal stopping problems via a weighted stochastic mesh algorithm," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1591-1616, October.
- Chinonso Nwankwo & Weizhong Dai & Tony Ware, 2023. "Enhancing accuracy for solving American CEV model with high-order compact scheme and adaptive time stepping," Papers 2309.03984, arXiv.org, revised Sep 2023.
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