Upwind numerical approach for an American and European option pricing model

被引：0
|
作者：
机构：
来源：
Appl Math Comput (New York) | / 2-3卷 / 273-286期
关键词：
D O I：
暂无
中图分类号：
学科分类号：
摘要：
引用
收藏
相关论文
共 50 条
  • [41] Numerical analysis of time fractional Black–Scholes European option pricing model arising in financial market
    Ahmad Golbabai
    Omid Nikan
    Touraj Nikazad
    Computational and Applied Mathematics, 2019, 38
  • [42] An FBSDE Approach to American Option Pricing with an Interacting Particle Method
    Fujii, Masaaki
    Sato, Seisho
    Takahashi, Akihiko
    ASIA-PACIFIC FINANCIAL MARKETS, 2015, 22 (03) : 239 - 260
  • [43] CONVERGENCE PROPERTY OF AN INTERIOR PENALTY APPROACH TO PRICING AMERICAN OPTION
    Zhang, Kai
    Wang, Song
    JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2011, 7 (02) : 435 - 447
  • [44] A NEW APPROACH FOR AMERICAN OPTION PRICING: THE DYNAMIC CHEBYSHEV METHOD
    Glau, Kathrin
    Mahlstedt, Mirco
    Poetz, Christian
    SIAM JOURNAL ON SCIENTIFIC COMPUTING, 2019, 41 (01): : B153 - B180
  • [45] An Interpolation-Based Approach to American Put Option Pricing
    Orosi, Greg
    MATHEMATICS ACROSS CONTEMPORARY SCIENCES, 2017, 190 : 167 - 175
  • [46] The Numerical Method for Solving the Problem of Pricing an American Put-Option
    Gileva, L.
    Shaydurov, V
    Efremov, A.
    APPLICATION OF MATHEMATICS IN TECHNICAL AND NATURAL SCIENCES (AMITANS 2020), 2020, 2302
  • [47] A numerical computation to the American option pricing via the discrete morse flow
    Omata, Seiro
    Iwasaki, Hiroshi
    Nakane, Kazuaki
    Xiong, Xiaohua
    Sakuma, Mitsuoku
    2003, Science Council of Japan (52)
  • [48] NEW NUMERICAL SCHEME FOR PRICING AMERICAN OPTION WITH REGIME-SWITCHING
    Khaliq, A. Q. M.
    Liu, R. H.
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2009, 12 (03) : 319 - 340
  • [49] A DG Approach to the Numerical Solution of the Stein-Stein Stochastic Volatility Option Pricing Model
    Hozman, J.
    Tichy, T.
    PROCEEDINGS OF THE 43RD INTERNATIONAL CONFERENCE APPLICATIONS OF MATHEMATICS IN ENGINEERING AND ECONOMICS (AMEE'17), 2017, 1910
  • [50] The European Vulnerable Option Pricing with Jumps Based on a Mixed Model
    Wang, Chao
    He, Jianmin
    Li, Shouwei
    DISCRETE DYNAMICS IN NATURE AND SOCIETY, 2016, 2016
12345