A Robust Spline Collocation Method for Pricing American Put Options
In this paper a robust numerical method is proposed for pricing American put options. The Black-Scholes differential operator in the original form is discretized by using a quadratic spline collocation method on a piecewise uniform mesh for the spatial discretization and the implicit Euler scheme fo...
Furkejuvvon:
| Váldodahkkit: | , , |
|---|---|
| Materiálatiipa: | Artigo |
| Giella: | Inglês |
| Almmustuhtton: |
Wiley
2019-01-01
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| Ráidu: | Discrete Dynamics in Nature and Society |
| Liŋkkat: | http://dx.doi.org/10.1155/2019/1753782 |
| Fáddágilkorat: |
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