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...
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| Główni autorzy: | , , |
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| Format: | Artigo |
| Język: | Inglês |
| Wydane: |
Wiley
2019-01-01
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| Seria: | Discrete Dynamics in Nature and Society |
| Dostęp online: | http://dx.doi.org/10.1155/2019/1753782 |
| Etykiety: |
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