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A Second-Order Difference Scheme for the Penalized Black–Scholes Equation Governing American Put Option Pricing

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  • Zhongdi Cen
  • Anbo Le
  • Aimin Xu

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  • Zhongdi Cen & Anbo Le & Aimin Xu, 2012. "A Second-Order Difference Scheme for the Penalized Black–Scholes Equation Governing American Put Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 40(1), pages 49-62, June.
    • Handle: RePEc:kap:compec:v:40:y:2012:i:1:p:49-62
    DOI: 10.1007/s10614-011-9268-9
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    References listed on IDEAS

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    1. Patrick Jaillet & Damien Lamberton & Bernard Lapeyre, 1990. "Variational inequalities and the pricing of American options," Post-Print hal-01667008, HAL.
    2. Courtadon, Georges, 1982. "A More Accurate Finite Difference Approximation for the Valuation of Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(5), pages 697-703, December.
    3. Hull, John & White, Alan, 1988. "The Use of the Control Variate Technique in Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 237-251, September.
    4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    5. Schwartz, Eduardo S., 1977. "The valuation of warrants: Implementing a new approach," Journal of Financial Economics, Elsevier, vol. 4(1), pages 79-93, January.
    6. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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    Cited by:

    1. K. Zhang & K. Teo & M. Swartz, 2014. "A Robust Numerical Scheme For Pricing American Options Under Regime Switching Based On Penalty Method," Computational Economics, Springer;Society for Computational Economics, vol. 43(4), pages 463-483, April.
    2. Fazlollah Soleymani, 2019. "Efficient Semi-Discretization Techniques for Pricing European and American Basket Options," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1487-1508, April.
    3. Mojtaba Hajipour & Alaeddin Malek, 2015. "Efficient High-Order Numerical Methods for Pricing of Options," Computational Economics, Springer;Society for Computational Economics, vol. 45(1), pages 31-47, January.

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